[Exogenous tansformation] Lagged exogenous - target features

[ncooder]

Description

Is there a way to create a feature from the exogenous and the target value with a lag and without a data leakage? Also in the AutoML can one add a list of exogenous transformations that can be passed for optuna to optimize which one gives better accuracy (also the original exogenous count)?

Use case

This would be very appreciated in AutoML models where the exogenous transformation is not simple to add.