Take any large multivariate problem and look for a regressor against some dimension. Say, car speed. You will find that there is a good variable that links tha

Take any large multivariate problem and look for a regressor against some dimension. Say, car speed. You will find that there is a good variable that links that. But that variable won't be explanatory or even correct. A much better explanation here, from the fairly wonderful blog of cosma shalizi http://bactra.org/weblog/523.html http://bactra.org/weblog/523.html And most importantly, it won't be predictive.