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Statistical Modelling: Fitting Models or Fitting Data?

Yesterday I read a quotation from “Quotes of the Day” which by accident expressed a rule for statistical modelling:

[…] I never guess. It is a capital mistake to theorize before one has data. Insensibly one begins to twist facts to suit theories, instead of theories to suit facts. (by Sir Arthur Conan Doyle)

This is interesting. It just indicated a rule of ethics: be honest and don’t alter your data to “fit” your “marvelous” models.