The Ten Commandments of Applied Econometrics

Last July, I purchased Peter Kennedy's excellent Guide to Econometrics.  My brother sent me this article by Peter Kennedy a couple weeks ago where Kennedy outlines his Ten Commandments of Applied Econometrics:

1. Thou shalt use common sense and economic theory.

Corollary: Thou shalt not do thy econometrics as thou sayest thy prayers.

2. Though shalt ask the right questions.

Corollary: Thou shalt place relevance before mathematical elegance.

3. Thou shalt know the context.

Corollary: Thou shalt not perform ignorant statistical analyses.

4. Thou shalt inspect the data.

Corollary: Thou shalt place data cleanliness ahead of econometric godliness.

5. Thou shalt not worship complexity.

Corollary: Thou shalt not apply asymptotic approximations in vain.

Corollary: Thou shalt not talk Greek without knowing the English translation.

6. Thou shalt look long and hard at thy results.

Corollary: Thou shalt apply the laugh test.

7. Thou shalt beware the costs of data mining.

Corollary: Thou shalt not worship R².

Corollary: Thou shalt not hunt statistical significance with a shotgun.

Corollary: Thou shalt not worship the 0.05% significance test.

8. Thou shalt be willing to compromise.

Corollary: Thou shalt not worship textbook prescriptions.

9. Thou shalt not confuse significance with substance.

Corollary: Thou shalt not ignore power.

Corollary: Thou shalt not test sharp hypotheses.

Corollary: Thou shalt seek additional evidence.

10. Thou shalt confess in the presence of sensitivity.

Corollary: Thou shalt anticipate criticism.

Read the paper and if you have any interest in econometrics, check out his book as well.

Andrew over at Statistical Modeling shares his thoughts on Kennedy's commandments.