Nymogenous comments on [LINK] Antidepressants: Bad Drugs... Or Bad Patients? - Less Wrong
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I can see that being an issue for subjective side-effect reporting (e.g. headache, nausea), but not for objectively measurable data, such as blood cholesterol levels, survival rates, etc. There you may have the "true" placebo effect, but probably not the described selection effects.
This is especially true for antidepressants because some are only effective on more severe cases (eg Zoloft); self-selection will yield a body of faux-depressed and mildly depressed people on whom the drug has no result.
EDIT: Apparently I was thinking of a different drug.
Zoloft has actually been found to be one of the better drugs for cases of mild chronic depression ("dysthymia").