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Like TLomon mentioned the tobacco industry is part of a well known conspiracy of the past. The tobacco industry was behind a PR campaign that counteracted scientific evidence which linked cigarette smoking to lung cancer.
Take the common example of the correlation between smoking and lung cancer. We can safely guess that lung cancer probably doesn't cause smoking, so if we have no idea what Z could be, we can start with the hypothesis that smoking causes cancer. One way to test that is a controlled experiment.