Depending on the nature of the class you are taking, you may be required to perform either primary or secondary research to complete a paper—or both. Neither form of research is inherently superior to the other. However, both have different functions in the context of your education.
Primary research is research actually performed by the person reporting the data. Examples of primary research might include interviews; experiments; and close readings of texts. Secondary research involves using the research and analysis of others, including the experiments conducted by other academics; professionally-compiled data by a news agency or other reputable organization; and critical scholarly analysis of literary sources.
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In most college classes, particularly at the lower levels, much of your research is likely to involve secondary sources. However, both primary and secondary research have their benefits and their drawbacks. Primary sources are not filtered by the bias of someone else: since you are doing the research, you do not need to worry that something is being deliberately excluded. However, secondary sources have the value of being professionally vetted and reviewed. They give you access to the knowledge of scholars with a great deal of experience in the field.
The balance of primary versus secondary research that you choose will depend upon the nature of the work and the demands of the class. Regardless, you must be aware of the benefits and potential pitfalls of using both to ensure your sources are appropriately vetted: using primary sources requires that you as a scholar act with responsibility and rigor; using secondary sources demands that you exercise due diligence in choosing high-quality work.