Chapter 15
Validation
[T]he simple idea of splitting a sample in two and then developing the hypothesis on the basis of one part and testing it on the remainder may perhaps be said to be one of the most seriously neglected ideas in statistics, if we measure the degree of neglect by the ratio of the number of cases where a method could give help to the number of cases where it is actually used.
—G. A. Barnard in discussion following Stone [1974, p. 133]
Validate your models before drawing conclusions.
ABSENT A DETAILED KNOWLEDGE OF CAUSAL MECHANISMS, THE results of a regression analysis are highly suspect. Freedman [1983] found highly significant correlations between totally independent variables. Gong [1986] resampled repeatedly from the data in hand and obtained a different set of significant variables each time.
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