How to do econometrics
21 April, 2015 at 11:33 | Posted in
Economics | 1 Comment
always, plot your data. Remember that data
quality is at least as important as data quantity. Always ask yourself, “Do these results make economic/common sense”?
Check whether your “statistically significant” results are also “numerically/economically significant”.
Be sure that you know exactly what assumptions are used/needed to obtain the results relating to the properties of any estimator or test that you use.
Just because someone else has used a particular approach to analyse a problem that looks like yours, that doesn’t mean they were right!
“Test, test, test”! (David Hendry). But don’t forget that “pre-testing” raises some important issues of its own.
Don’t assume that the computer code that someone gives to you is relevant for your application, or that it even produces correct results. Keep in mind that published results will represent only a fraction of the results that the author obtained, but is not publishing.
Don’t forget that “peer-reviewed” does NOT mean “correct results”, or even “best practices were followed”.
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