Thanks @jessegrabowski.
Ultimately, I’m running multiple experiments with multiple lags. I used the term “correlation” loosely in my original post (probably not a good idea considering the audience).
But with multiple items needing a forecast, and all of them having different lengths of demand history, I was curious if there were some way to test (quickly) and see how many lags gave the best result. Your post was helpful and the modified version notebook you shared is clear and to the point.
Thank you for the help.