There are so many things in statistics (and hence in econometrics) that are easily, and frequently, misinterpreted. Two really obvious examples are p-values and confidence intervals.
I’ve devoted some space in earlier posts to each of these concepts, and their mis-use. For instance, in the case of p-values, see the posts here and here; and for confidence intervals, see here and here.
Click through for more in this vein, including a reference to an interesting-looking paper.