Making sense of data is hard. Every new look you take at the same data is another chance to corrupt your understanding, if you're not very careful.
"Which political party is best for the economy seems like a pretty straightforward question. But as you saw, it's much easier to get a result than it is to get an answer. The variables in the data sets you used to test your hypothesis had 1,800 possible combinations. Of these, 1,078 yielded a publishable p-value, but that doesn't mean they showed that which party was in office had a strong effect on the economy. Most of them didn't."
— Christie Aschwanden, "Science Isn't Broken: It's just a hell of a lot harder than we give it credit for." (FiveThirtyEightScience, 2015-08-15)https://fivethirtyeight.com/features/science-isnt-broken/