Lets look for example, at the forecast the sales of a retail outlet.
If I understood the concept correctly, than a lagged feature would be the sales of a previous month t−1.
Would it make sense/is it common practice to create a lagged feature of a feature? For example number of customers and number of customers of a previous month t-1.
I'd be worried by doing so, that I'd give too much weight to unimportant features.