Sinning in the Basement: What are the Rules? The Ten Commandments of Applied Econometrics

Unpleasant realities of real-world data force applied econometricians to violate the prescriptions of econometric theory as taught by our textbooks. Leamer (1978) vividly describes this behavior as wanton sinning in the basement, with sinners' metamorphizing into high priests as they ascend to the third floor to teach econometric theory. But this sinning is not completely wanton--applied econometricians do (or should) follow some unwritten rules of behavior, in effect bounding the sinning and promoting a brand of honor among sinners. This paper exposits these rules, and culls from them an unauthorized list of the Ten Commandments of applied econometrics. Copyright 2002 by Blackwell Publishers Ltd

[1]  John W. Tukey,et al.  Analyzing data: Sanctification or detective work? , 1969 .

[2]  J. Medhi.  Problem Solving: A Statistician's Guide , 1996 .

[3]  Morgan,et al.  Lessons from the Tacit Knowledge Experiment , 1999 .

[4]  M. S. Morgan,et al.  Introduction: is data mining a methodological problem? , 2000 .

[5]  F. Hartwig,et al.  Exploratory Data Analysis , 2008, Using Science in Cybersecurity.

[6]  Marks R. Nester,et al.  An Applied Statistician's Creed , 1996 .

[7]  P. Burkett,et al.  Economic history and econometrics: a cautionary note from the hyperinflation front , 1998 .

[8]  David F. Hendry,et al.  The Econometric-analysis of Economic Time-series , 1983 .

[9]  W. W. Muir,et al.  Regression Diagnostics: Identifying Influential Data and Sources of Collinearity , 1980 .

[10]  Roy E. Welsch,et al.  Modeling Energy Consumption--Using and Abusing Regression Diagnostics: Comment [Combining Robust and Traditional Least Squares Methods: A Critical Evaluation] , 1988 .

[11]  M. Feldstein.  Inflation, Tax Rules and Investment: Some Econometric Evidence , 1982 .

[12]  R. Levine,et al.  A Sensitivity Analysis of Cross-Country Growth Regressions , 1991 .

[13]  S. Liebowitz,et al.  MORTGAGE LENDING TO MINORITIES: WHERE'S THE BIAS? , 1998 .

[14]  C. Chatfield.  Model uncertainty, data mining and statistical inference , 1995 .

[15]  Kevin D. Hoover,et al.  Data mining reconsidered: encompassing and the general-to-specific approach to specification search , 1997 .

[16]  M. Braga,et al.  Exploratory Data Analysis , 2018, Encyclopedia of Social Network Analysis and Mining. 2nd Ed..

[17]  Deirdre N. McCloskey,et al.  The Standard Error of Regressions , 1996 .

[18]  Stephen J. Perez,et al.  Three attitudes towards data mining , 2000 .

[19]  D. Thomas.  Figuring anthropology: First principles of probability and statistics , 1976 .

[20]  Calyampudi R. Rao,et al.  Statistics and Truth Putting Chance to Work , 1989 .

[21]  C. Wild.  Embracing the “Wider View” of Statistics , 1994 .

[22]  Howard Wainer.  Visual Revelations , 2000 .

[23]  Michael McAleer,et al.  Simplicity, scientific inference and econometric modelling , 1995 .

[24]  Marno Verbeek,et al.  A Guide to Modern Econometrics , 2000 .

[25]  Richard H. Thaler.  Journal of Economic Perspectives—Volume 14, Number 1—Winter 2000—Pages 133–141 From Homo Economicus to Homo Sapiens , 2022 .

[26]  Maxine Pfannkuch,et al.  Statistical Thinking an Statistical Practice: Themes Gleaned from Professional Statisticians , 2000 .

[27]  D. Hendry,et al.  The ET Dialogue: A Conversation on Econometric Methodology. , 1990 .

[28]  David W. Wilcox.  The Construction of U.S. Consumption Data: Some Facts and Their Implications for Empirical Work , 1992 .

[29]  John C. Bailar.  A Larger Perspective , 1995 .

[30]  Geoffrey R. Loftus,et al.  A picture is worth a thousandp values: On the irrelevance of hypothesis testing in the microcomputer age , 1993 .

[31]  L. Harlow,et al.  What if there were no significance tests , 1997 .

[32]  W. Edwards Deming,et al.  Teaching of Statistics , 1940 .

[33]  Elizabeth Wilkinson,et al.  The Task Force on Statistical Inference , 1999 .

[34]  R. M. Loynes,et al.  The Teaching of Practical Statistics , 1987 .

[35]  George W. Cobb,et al.  Introductory Textbooks: A Framework for Evaluation , 1987 .

[36]  Chris Chatfield,et al.  Avoiding Statistical Pitfalls , 1991 .

[37]  David F. Hendry,et al.  Procrustean Econometrics: Stretching and Squeezing Data , 1985 .

[38]  R. Viertl.  On the Future of Data Analysis , 2002 .

[39]  Peter E. Kennedy.  A Guide to Econometrics , 1979 .

[40]  A. Zellner.  Keep It Sophisticatedly Simple , 1999 .

[41]  Adrian Pagan,et al.  Three Econometric Methodologies: A Critical Appraisal , 1987 .

[42]  Howard White,et al.  Econometrics and Data Analysis for Developing Countries , 1998 .

[43]  J. Magnus.  The Success of Econometrics , 1999 .

[44]  Edward E. Leamer.  Revisiting Tobin's 1950 Study of Food Expenditure: Reply , 1997 .

[45]  A. Vilches,et al.  Teaching of Statistics , 1940, Nature.

[46]  D. A. Preece,et al.  Good statistical practice , 1987 .

[47]  H. Lüders,et al.  Comments , 2002, Clinical Neurophysiology.

[48]  John Maynard Keynes,et al.  On a Method of Statistical Business-Cycle Research. A Comment , 1940 .

[49]  Michael Strube,et al.  Anaphora Resolution , 2020, The Oxford Handbook of Computational Linguistics 2nd edition.

[50]  Thomas Mayer,et al.  Truth Versus Precision in Economics , 1992 .

[51]  Stocks and the weather: An exercise in data mining or yet another capital market anomaly? , 1997 .

[52]  D. Hamermesh.  The Craft of Labormetrics , 2000 .

[53]  Michael P. Clements,et al.  Economic Forecasting: Some Lessons from Recent Research , 2001, SSRN Electronic Journal.

[54]  Niall M. Adams,et al.  Data Mining for Fun and Profit , 2000 .

[55]  Edward Leamer.  3 Things That Bother Me , 1988 .

[56]  PRACTICING STATISTICS OR WHAT THEY FORGOT TO SAY IN THE CLASSROOM , 1982 .

[57]  M. Feldstein.  Inflation, Tax Rules, and Investment: Some Econometric Evidence , 1980 .

[58]  Spyros Makridakis,et al.  The M3-Competition: results, conclusions and implications , 2000 .

[59]  Arnold Zellner,et al.  Statistics, Science and Public Policy , 1992 .

[60]  Barbara A. Bailar,et al.  Statistical Practice and Research: The Essential Interactions , 1988 .

[61]  H. Kaiser,et al.  Directional statistical decisions. , 1960, Psychological review.

[62]  Steven G. Medema,et al.  Foundations of Research in Economics: How Do Economists Do Economics? , 1996 .

[63]  R. Rosenthal,et al.  Statistical Procedures and the Justification of Knowledge in Psychological Science , 1989 .

[64]  Leland Wilkinson,et al.  Statistical Methods in Psychology Journals Guidelines and Explanations , 2005 .

[65]  A. W. Kimball,et al.  Errors of the Third Kind in Statistical Consulting , 1957 .

[66]  M. Friedman.  Do Old Fallacies Ever Die , 1992 .

[67]  Allen S. Mandel.  Comment … , 1978, British heart journal.

[68]  P. Schmidt.  Revisiting Tobin's 1950 Study of Food Expenditure: Comments , 1997 .

[69]  V. Tanzi,et al.  The Underground economy in the United States and abroad , 1983 .

[70]  R. Abelson.  Statistics As Principled Argument , 1995 .

[71]  Edward E. Leamer,et al.  Specification Searches: Ad Hoc Inference with Nonexperimental Data , 1980 .

[72]  Ronald Smith,et al.  Quantitative Methods in Peace Research , 1998 .

[73]  Richard L. Tweedie,et al.  Consulting: real problems, real interactions, real outcomes, with a resources appendix by Sue Taylor , 1998 .

[74]  David F. Hendry,et al.  Econometrics-Alchemy or Science? , 1980 .

[75]  Zvi Griliches,et al.  Data and Econometricians-The Uneasy Alliance , 1985 .

[76]  G. Worswick..  Is Progress in Economic Science Possible , 1972 .

[77]  Chris Chatfield,et al.  The Initial Examination of Data , 1985 .