I'm trying to find cross -correlation between two-time series and as it so happens, they are auto-correlated(2), nonstationary and co-integrated. As I read about them, it appears that pre-whitening the series before finding the correlation should be done. But there is no clear process mentioned anywhere on how do I pre-whiten a time-series. I'll be doing it in python so if someone can mention even just the steps, it'll be great.
Asked
Active
Viewed 153 times
