Consider all lags that are significant.
If your cross-correlation function does not output significance levels, consider my approach for the 95% confidence level:
1. Order the absolute values of the cross-correlation between zscore(t,1) and zscore(randn(1,N),1).
2. Choose the value at floor(0.95*(2*N-1)).
3. Repeat 100 or more times and average the result.
4. Design a timedelaynet and only keep as many significant input delays as you need.
5. Design a narnet and only keep as many significant feedback delays as you need.
6. Design a narxnet using the delays obtained in 4 and 5.
If you search using the word NNCORR you will find many of my examples
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