Page "Econometrics" Paragraph 40

Like other forms of statistical analysis, badly specified econometric models may show a spurious correlation where two variables are correlated but causally unrelated.

In a study of the use of econometrics in major economics journals, McCloskey concluded that economists report p values ( following the Fisherian tradition of tests of significance of point null-hypotheses ), neglecting concerns of type II errors ; economists fail to report estimates of the size of effects ( apart from statistical significance ) and to discuss their economic importance.

Economists also fail to use economic reasoning for model selection, especially for deciding which variables to include in a regression.