The use of statistical tests in econometrics, however, is not a straightforward matter
and in most applications does not admit of a clear-cut interpretation. This is especially
so in circumstances where test statistics are used not only for checking the adequacy of a
given model but also as guides to model construction. Such a process of model construction
involves specification searches of the type emphasized by Leamer (1978) and presents
insurmountable pre-test problems which in general tend to produce econometric models
whose ‘adequacy’ is more apparent than real. As a result, in evaluating econometric
models less reliance should be placed on those indices of model adequacy that are used
as guides to model construction, and more emphasis should be given to the performance
of models over other data sets and against rival models.