Bruce McCullough writes:

Don’t know if you’re aware of this, but if you need more evidence for the primacy of interaction effects, data mining is a great place to look. My degree is in economics. I was taught to use interaction effects as a test for nonlinearity, and that was about it.

My data mining experience of the past few years has taught me that interaction effects can be neglected at my own peril. A wonderful paper that illustrates this is “Variable selection in data mining: Building a predictive model for bankruptcy,” by Dean P. Foster and Robert A. Stine in the Journal of the American Statistical Association (2000). The usual linear regression doesn’t work. The model with lots of interactions works very well.