In statistics, you're supposed to come up with a statistical model first before running regressions on the data. But quite a few papers I've read (especially in finance) seem to go the other way around, i.e.<p>They run regressions on a data set, adding and subtracting independent variables until the t values and standard errors start looking good.<p>Then they construct the linear model, assume the Gauss-Markov assumptions and sometimes (though not always) try to explain the causal relationship between the variables.<p>This is obviously very wrong and nobody has any clue what the distribution of the least squares estimators to these models are. But I've seen plenty of examples of this, which is enough to void the results of the paper (even if the model they come up with is somewhat plausible).