Must-Read: Cosma Shalizi: Advanced Data Analysis from an Elementary Point of View

Must-Read: Cosma Shalizi vs. the Econometricians:

Cosma Shalizi: Advanced Data Analysis from an Elementary Point of View: “It Is also important to be clear that when we find the regression function is a constant…

…μ(x) = μ₀ for all x, that this does not mean that X and Y are statistically independent. If they are independent, then the regression function is a constant, but turning this around is the logical fallacy of “affirming the consequent”. As in combining the fact that all human beings are featherless bipeds, and the observation that a cooked turkey is a featherless biped, to conclude that cooked turkeys are human beings. An econometrician stops there; an econometrician who wants to be famous writes a best-selling book about how this proves that Thanksgiving is really about cannibalism.