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Quotes of acquired research taste:

"In interpreting a body of empirical literature one has to use Sherlock Holmes’s famous principle of the dog that didn’t bark. Before the 2007 to 2008 financial crisis, incentives to write a paper documenting the benefit of these markets were very high and the data were readily available. Thus, if no paper has been published it is not for lack of trying, but for a lack of success in finding a statistically significant result. Therefore, the lack of published evidence can be safely interpreted as evidence of a lack of any correlation." p 17, Zingales, L. (2015). Presidential address: Does finance benefit society?. The Journal of Finance, 70(4), 1327-1363.

Quotes of acquired econometric taste:

"The astute reader will have noticed that in discussing various transformations we are playing fast and loose with the disturbance term, inserting it in some equations and not in others in order to simplify the transformations. The only justification for such a (common) practice are ignorance and convenience. The late Sir Julian Huxley (distinguished biologist and brother of novelist Aldous Huxley) once described God as a "personified symbol for a man's residual ignorance". The disturbance term plays a similar role in econometrics, being a stochastic symbol for the econometrician's residual ignorance. And, just as one often does with God, one ascribes to the inscrutable and unknowable the properties most convenient for the purpose at hand." p. 46, Econometric Methods, 4th edition, J. Johnston, J. DiNardo

"Asymptotic results often provide but cold comfort for practical econometricians, who perforce live in a finite-sample world." Same book, p. 264

"Time series evidence from the US indicates unidirectional causality from eggs to chickens." - Chickens, Eggs, and Causality, or Which Came First? W. Thurman and M. Fisher, American Journal of Agricultural Economics, Vol 70, No 2

With clustering, researchers can usually conduct regressions in levels even with nonstationary variables. They should, however, be leery of pitfalls caused by clustering, especially when conducting difference-in-differences analyses. Source

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