With the recent growth in intensive longitudinal designs and corresponding demand for methods to analyze such data, there has never been a more pressing need for user-friendly analytic tools that can identify and estimate optimal time lags in intensive longitudinal data. Available standard exploratory methods to identify optimal time lags within univariate and multivariate multiple subject time series are greatly under-powered at the group (i.e., population) level. We describe a hybrid exploratory-confirmatory tool, referred to herein as the Differential Time-Varying Effect Model (DTVEM), which features a convenient user-accessible function to identify optimal time lags and estimate these lags within a state-space framework. Data from an empirical ecological momentary assessment study are used to demonstrate the utility of the proposed tool in identifying the optimal time lag for studying the linkages between nervousness and heart rate in a group of undergraduate students. Using a simulation study, we illustrate the effectiveness of DTVEM in identifying optimal lag structures in multiple-subject, time series data with missingness, as well as its strengths and limitations as a hybrid exploratory-confirmatory approach compared to other existing approaches.