I have two time series which are somewhat correlated, and I am tasked with discovering if one of the time series "leads" the other. I am guessing this means that, if one time series moves in a certain way, the other time series will move that way, but perhaps a bit slower, or "lagged."
I have extensive knowledge of mathematics and statistics, but I have never worked with time series before. Is there a test that is for this problem? What can I do here?
Perhaps this question is better suited for CrossValidated, but this site is more popular, and this is math nonetheless.
Thanks in advance!
You need to apply Granger Causality test. See here.