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how would you comment on the attitude presented in Gujarati's Econometrics book from McGraw:, p.74:

To some extent, there is some trial and error involved in choosing the "right" model for empirical analysis.

But one should avoid what is known as �data mining,� that is, trying every possible model with the hope that at least one will fit the data well. That is why it is essential that there be some economic reasoning underlying the chosen model and that any modifications in the model should have some economic justification. A purely ad hoc model may be difficult to justify on theoretical or a priori grounds. In short, theory should be the basis of estimation. But we will have more to say about data mining in Chap. 13, for there are some who argue that in some situations data mining can serve a useful purpose.

(Editor note: please reply to editor at kdnuggets.com and I will summarize)

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