Here is a brief extract of comments I made in an interview in Singapore this year.
The first piece of advice I give to PhD students is to not be in a big rush to get the data and do something with it. You have to have a really good question first. Otherwise, no matter how good your data is, your work is not going to be interesting and you will not publish a good paper.
The second thing is, you should always theoretically analyse the question completely first because that exercise will take you to the right empirical specification for the data work that you want to do. There should be a good theory because once you have a theory, then you can derive a setup that tells you that if this assumption holds, then you should see this in the data, etc. “No theory, no paper.”
Another piece of advice is not to be in a big rush to find a topic because you are going to be stuck with it for the duration of the PhD and possibly a few more years. You do not want sub-optimally close on something that you will not enjoy.
Additional advice is to start writing right away, do not wait; the process of writing helps you structure your thoughts better, structure your theory better, structure the empirical work better. Of course you should always be ready to throw things away.
You should write early rather than late and keep writing. That is part of the life of a researcher; writing a lot is a good thing and throwing away a lot is also a good thing. And you know, you keep learning through that process, and that is important.
You should not expect to learn everything you need to know in a PhD programme; that is never going to happen. There were countless things I learnt after my PhD because I needed to solve a problem, I needed a technique that I did not know and I had to learn it for myself; you should be learning how to learn instead of thinking that everything is going to happen in the PhD programme. That is the purpose of the programme.