Os dez mandamentos da econometria aplicada (The Ten Commandments of Applied Econometrics)

Como havia prometido em post anterior, segue o artigo do Peter Kennedy (ideas link).

Peter Kennedy também é o autor de A Guide to Econometrics, que é basicamente um compêndio de referência que supre várias lacunas sérias encontradas nos livros-textos de econometria padrão (como Hayashi ou Greene).

Os dez mandamentos são:

1. Thou shalt use common sense and economic theory.

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

2. Thou 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 percent significance level.

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.

Como estou procrastinando pouco (isso é bom), os comentários ficam para algum dia. Mas deixo aqui as respostas de Magnus  (ideas link) e  Hendry (ideas link).