Peter Kennedy was an associate editor of the International Journal of Forecasting and a superb applied econometrician. He died unexpectedly in August 2010. He was best known for his excellent book A Guide to Econometrics as well as his “Ten Commandments of Applied Econometrics”. He provided a variation on his ten commandments in advice to his students in the form of the following ten rules:
- Use common sense (and economic theory)
- Avoid Type III errors (providing the right answer to the wrong question)
- Know the context
- Inspect the data
- KISS (Keep It Sensibly Simple)
- Make sure your results make sense
- Understand the costs and benefits of data mining
- Be prepared to compromise
- Do not confuse statistical significance with meaningful magnitude
- Always report a sensitivity analysis
Although these were framed in the context of applied econometrics, they apply to any data analysis (except substitute “economic theory” for the relevant field in the first rule).
The rest of his advice is also well-worth reading.
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