TO LEARN MORE
David Freedman’s [1999] article on association and causation is must reading. Lieberson [1985] has many examples of spurious association. Friedman, Furberg, and DeMets [1996] cite a number of examples of clinical trials using misleading surrogate variables.
Mosteller and Tukey [1977] expand on many of the points raised here concerning the limitations of linear regression. Distribution-free methods for comparing regression lines among strata are described by Good [2001; pp. 168–169].
For a real-world example of Simpson’s paradox, see http://www.stats.govt.nz/searchresults.aspx?q=Simpson’s paradox.
Notes
1 In the SAS manual, these are called ARIMAX techniques and are incorporated in Proc ARIMA.
2 822 F. Supp. 906 (E.D.N.Y., 1993).
3 See, for example Green and Silverman [1994] and Loader [1999].
4 Most published methods also require that the loss function be least-squares and the residuals be normally distributed.
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