This book provides various guidelines for proper econometric research practice. There are some general ethical issues that hold for any research practice, but for econometricians there are various additional ones. This is because those who receive our advice most often are not econometricians, and the associated knowledge gap can be large. We therefore need their trust. This can be achieved by obeying various ethical guidelines such as making data and code available, and at the same time making explicit which choices were made. Econometricians make choices concerning data, samples, methods, models, estimation routines, and more. Using a range of empirical examples, and sometimes simulated data, this book shows that there can be many choices to make, that results are path dependent, and that such knowledge is important in research practice.
The running thread throughout this book is that the application of econometric methods and techniques requires us to make choices, and that ethics in econometrics involves that these choices are well articulated and well documented.
The topics in this book in part draw on my own academic work and experience but most often from my experience with supervision of students. Master students at the Econometric Institute in Rotterdam frequently embark on internships with companies or institutions. These internships concern questions that these parties have, and these questions can address macroeconomics, finance, marketing, charity, transport and much more. During these internships, the students become acquainted with practical questions, asked by people who are not familiar with econometrics, and they encounter databases and real report writing. Rarely if ever are the databases complete and fully free from measurement error, or are the questions precisely articulated, and sometimes the results are not what management would have hoped for. Yet the advisees are always happy with the new insights when the student outlines step by step how the results were obtained.
This book is not a standalone textbook: The reader is expected to have knowledge of basic statistical and econometric methods and techniques. There are many good textbooks around, and at times this book suggests further reading and consultation of such books. There is no econometric theory in this book and there are no proofs of the usefulness of methods. In fact, the book draws on the empirical analysis of actual data. The data are either presented in print in the book or are available from www.enjoyable-econometrics.com in Excel format. Many computations in this book were done using EViews version 12, but these could just as well have been done using any other similar computing package or by using R or Python code. The choice of the empirical cases is of course made by me, but no doubt there are many other cases with similar issues and there are also possible other issues than those dealt with in this book. Hence, this is a collection of guidelines, and it is certainly not the final collection.
At times, this book discusses cases of willful deception and of accidentally misleading behavior. All are based on publicly available information, either on the internet or otherwise in articles and books.
This book will be useful for applied researchers who want to learn what we can encounter in the real world outside textbooks. It will be useful for academics who use econometric methods for specific research questions. And it will be useful for students at masters and PhD level who want to gain awareness of aspects of proper research practice.
