On the Worthwhile Canadian Initiative blog, Frances Woolley had a good post about why beginner econometricians get so worked up about the wrong things:
[I]t is rare that I will have someone come to my office hours and ask “Have I chosen my sample appropriately?” Instead, year after year, students are obsessed about learning how to use probit or logit models, as if their computer would explode, or the god of econometrics would smite them down, if they were to try to explain a 0-1 dependent variable by running an ordinary least squares regression.
I try to explain: “Look, it doesn’t matter. It doesn’t make much difference to your results. It’s hard to come up with an intuitive interpretation of what logit and probit coefficients mean, and it’s a hassle to calculate the marginal effects. You can run logit or probit if you want, but run a linear probability model as well, so I can tell whether or not anything weird is going on with the regression.”
But they just don’t believe me.
