Autometrics

Trying to learn more about it.

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Better LATE than nothing

Imben's response to Deaton and Heckman and Urzua. This debate is really cool. 

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Rapture index

I talked about this here,  the paper is now  out.  Title and abstract:

Irrational Exuberance in the U.S. Housing Market: Were Evangelicals Left Behind?

The recent housing bust has reignited interest in psychological theories of speculative excess (Shiller, 2007). I investigate this issue by identifying a segment of the U.S. population-evangelical protestants-that may be less prone to speculative motives, and uncover a significant negative relationship between their population share and house price volatility. Evangelicals' focus on Biblical prophecy could account for this difference, since it may enable them to interpret otherwise negative events as containing positive news, dampening the response of house prices to shocks. I provide evidence for this channel using a popular internet measure of "prophetic activity" and a 9/11 event study. I also analyze survey data covering religious beliefs and asset holding, and find that 'end times' beliefs are associated with a one-third decline in net worth, consistent with these beliefs providing a form of psychic insurance (Scheve and Stasavage, 2006a and 2006b) that reduces asset demand.

Thanks to Chris Crowe for letting me know.

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Cool statistics blog

Here

Even cooler new journal

thanks manu manu

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Bad econometric models...

...bad economic policies. At least this is what John N Muellbauer thinks. Check this out: European central banks, misguided by outdated econometric models, should have cut rates faster and deeper in a coordinated fashion. They should now scrap these models..
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Playmates!

Should I use these data data in my econometrics class?
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Weird instruments: The rapture index

Today I start teaching econometrics. So what about starting a thread about weird instruments (like instruments for instrumental variable estimations, if you don’t know econometrics, never mind)? The coolest I have ever seen is the Rapture Index.

The rapture index measures the probability of rapture. The rapture is an event that will take place sometime in the near future. Jesus will come in the air, catch up the Church from the earth, and then return to Heaven with the Church. (details are here).

Apparently this (interacted with evangelical population) is a good instrument for housing prices: Crowe (2008) finds that in MSAs with a larger portion of the population belonging to Evangelical churches house prices tend to rise disproportionately when the "Rapture Index" rises. This index maps current events into a subjective probability of an imminent coming of a time of "extreme and terrible" events and as such is independent from denial rates at the MSA level. We can then use the interaction term of the share of Evangelicals in the MSA population and change in the Rapture index as an instrument for house price appreciation. The paper is here

But why should somebody who believes that the end of the world is approaching buy a house? I would rather follow this guy's advice.

BTW, I need to check if the LHC is affecting housing prices in Geneva.
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Rigotnomics & IV

The Econ grad students at HEI (where I teach part-time) have a cool blog appropriately named Rigotnomics.

A while ago I had read a nice post in the precursor (I think) of Rigotnomics (the name of that blog was less appropriate) on the interpretation of IV regressions and their use in policy-making. The post is here.
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Assessing causality

Chris Blattman reports on a new must-read paper by Guido Imbens and Jeffrey Wooldridge on Recent Developments in the Econometrics of Program Evaluation.

Talking about Imbens and Wooldridge, here you can learn from the masters without leaving your desk. Thanks NBER!
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Asking questions about econometrics (dedicated to MB)

From Peter Kennedy's A Guide to Econometrics (page 391) : "Econometricians experience this regularly when colleagues or students stop by for advice, prefacing their request with words to the effect that they do not want to take up much of the econometrician’s time so they will explain just the technical detail with which they want help. Acquiescing to this is usually a mistake because more often than not asking simple questions about the context of the problem brings to light serious misunderstandings."
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