I am studying the correlation between a set of input variables and a response variable, price. These are all in time series.
1) Is it necessary that I smooth out the curve where the input variable is cyclical (autoregressive)? If so, how?
2) Once a correlation is established, I would like to quantify exactly how the input variable affects the response variable.
Eg: "Once X increases >10% then there is an 2% increase in y 6 months later."
Which python libraries should I be looking at to implement this - in particular to figure out the lag time between two correlated occurrences?
Example:
I already looked at: statsmodels.tsa.ARMA but it seems to deal with predicting only one variable over time. In scipy the covariance matrix can tell me about the correlati