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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!

  • It may have been beneficial to get clarification on what was precisely meant by "leads" the other. – Galen May 10 '22 at 21:45

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You need to apply Granger Causality test. See here.

ssane
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