Students of econometrics, and anyone doing empirical work in (macro)economics, would benefit from reading what Mark has to say about the use of historical data vs. experimental data.
I won't spoil the story by repeating it here, but his bottom line is:
"I used to think that the accumulation of data along with ever improving empirical techniques would eventually allow us to answer important theoretical and policy questions. I haven’t completely lost faith, but it’s hard to be satisfied with our progress to date. It’s even more disappointing to see researchers overlooking these well-known, obvious problems – for example the lack of precision and sensitivity to data errors that come with the reliance on just a few observations – to oversell their results".
© 2013, David E. Giles