I have two time series. They are the same length of 3 years and each with one variable. I want to know if the two time series are correlated at a certain time point - 1 month, 2 month, 3 months etc. So, in other words does a value of X at month 1 in time series 1 correlate with a value of Y at month 3 in time series 2.
I have created code in python that automatically calculates .corr() at each lagged time point for me by referencing this article (https://stackoverflow.com/questions/33171413/cross-correlation-time-lag-correlation-with-pandas/55490747). But, I want to make sure my methodology is correct.
I'm running the correlation analysis on the absolute values of the two time series. I'm wondering if I should instead be running the correlation analysis on the % difference of values (month 2 - month 1 / month 1 value).
Guidance and suggestions are appreciated as I'm new to this type of analysis.