It's not often an ad for a statistics program gives me a laugh

 . . . but Stata 15's ad does. (They're up to 15!--it seems like just yesterday when I was happily running regressions in release 8.) Part of the ad says, "Nonparametric regression--When you know something matters. But have no idea how."

Two points:

  1. If you have "no idea how" something matters, maybe--just maybe--you should revisit your presumption that you know that it does.
  2. And if you think you've found out how solely using nonparametric regression--or any other statistical technique--you run a grave risk of committing a problem receiving a large, and increasing, amount of criticism these days: data mining, p-hacking, "torturing the data long enough until it confesses" are three of the names it's known by. 

But that risk doesn't tend to worry the folks who sell statistics programs.