Add the possibility to skip the cross correlation step when creating lagged regressors

[smoia]

Closes #

Proposed Changes

Change Type

• bugfix (+0.0.1)
• minor (+0.1.0)
• major (+1.0.0)
• refactoring (no version update)
• test (no version update)
• infrastructure (no version update)
• documentation (no version update)
• other

Checklist before review

• I added everything I wanted to add to this PR.
• [Code or tests only] I wrote/updated the necessary docstrings.
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• My contribution is harmonious with the rest of the code: I'm not introducing repetitions.
• My code respects the adopted style, especially linting conventions.
• The title of this PR is explanatory on its own, enough to be understood as part of a changelog.
• I added or indicated the right labels.

• I added information regarding the timeline of completion for this PR.

• Please, comment on my PR while it's a draft and give me feedback on the development!

[smoia]

🚀 PR was released in 0.15.0 🚀