Quite a big question with many different answers. Often, linking different theories and science subjects together is needed to even get close to an answer.
In general, first you make an observation, then create a hypothesis (think about why it has happened), make a prediction, experiment, analyse, review, start over if necessary.
Eloquent answer Laura. You may consult other people during your review or look over other previously published findings to see if/how your data fits with current knowledge. If you find out something new you can then share it with others. This is usually done by publishing your data in a scientific paper.
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