In order to investigate the time-dependent cross-correlations of fine particulate (PM2.5) series among neighboring cities in Northern China, in this paper, we propose a new cross-correlation coefficient, the time-lagged q-L dependent height crosscorrelation coefficient (denoted by p q ( τ, L)), which incorporates the time-lag factor and the fluctuation amplitude information into the analogous height cross-correlation analysis coefficient. Numerical tests are performed to illustrate that the newly proposed coefficient ρ q ( τ, L) can be used to detect cross-correlations between two series with time lags and to identify different range of fluctuations at which two series possess cross-correlations. Applying the new coefficient to analyze the time-dependent cross-correlations of PM2.5 series between Beijing and the three neighboring cities of Tianjin, Zhangjiakou, and Baoding, we find that time lags between the PM2.5 series with larger fluctuations are longer than those between PM2.5 series withsmaller fluctuations. Our analysis also shows that cross-correlations between the PM2.5 series of two neighboring cities are significant and the time lags between two PM2.5 series of neighboring cities are significantly non-zero. These findings providenew scientific support on the view that air pollution in neighboring cities can affect one another not simultaneously but with a time lag.