Econometricians dabbling with Christianity...

As I wrote my response to Ed Glaeser yesterday, I came across a number of interestingly titled papers, and before I knew it I was on a trail back to Ed Leamer, who Ed Glaeser is a colleague of, and whom Glaeser recommends all should follow when doing econometrics. It so happens I disagree with this on econometric terms, as my response should point out (if it doesn't, I'll be working on that!), and I also have bones to pick about Ed Leamer's understanding of God and Christianity, comments that spawned papers titled "Sinning in the Basement: What are the Rules? The Ten Commandments of Applied Econometrics " by Peter Kennedy, and "Applied Econometrics without Sinning" by my supervisor, David Hendry.

Kennedy's use of Christian language is an outpouring of a work by Edward Leamer in 1978, which described econometrics along the lines of the building where he was apparently taught it - on the bottom floor were the applied guys churning out econometric models, and on the third floor were the econometric theorists, teaching students about the ideals of the subject, without getting their hands dirty. He was intrigued by how both camps used the same language, but described the former as "sinners in the basement", and the latter as High Priests.

I'm quite unsure of where Leamer got this idea from. Perhaps it could be from the perception of that Christians, well Christian leaders, are somehow perfect, or at least should be (witness the consternation when they're found not to be, and found to be child abuses etc). Hence they occupy this third floor, pure and clean, not getting dirty with the world. Yet this is not the view of Christianity put forward by the inventor of the faith, Jesus Christ. Not only did he (described as our High Priest) get his hands dirty in the world by healing, dining with the masses etc, but he also remained sinless (where sin is defined, as it is in the Bible, as disobeying God). As a result, when Jesus died on the Cross, a death deserved for those who disobey God, he took that punishment, meaning that all who disobey God can avoid punishment, if they believe and trust in Jesus as their Lord and Saviour.

So Jesus knew that, in fact, all occupy the basement, to use Leamer's language. What does this mean for Leamer's model? Well it means not least that even econometric theorists get their hands dirty, and in Glaeser's words, behave opportunistically. Those, such as Leeb and Poetscher, in their 2005 paper, who claim model selection can never deliver consistent regression estimates and make strong claims about it, when their model set-up precludes consistent estimation by any methodology, be it simple regression, model selection or model averaging, are very guilty in this respect.

Only Jesus, and the Father and Holy Spirit, occupy the third floor for the time being. Thankfully, through Jesus heading down the stairs to the basement for a time, we can enter the third floor in time, though not yet - either when we die, or Jesus returns.

Turning to another aspect of Edward Leamer's theology, he writes:
"As you wander through the thicket of models, you may come to question the meaning of the Econometric Scripture that presumes the model is given to you at birth by a wise and beneficient Holy Spirit."
Such blatant use again of Biblical language suggests that this quote is motivated by some understanding of Christianity. However, again it is not the view of Christianity Jesus talked about, and if we're really interested in Christianity enough to write in econometrics papers, we should consider what its founder had to say.

Many of the words of Jesus recorded in the Bible could be used to show that Christianity is not something bestowed upon some people at birth, but not others. For example, in John 3:16 Jesus says "For God so loved the world that he gave his one and only Son [Jesus], that whoever believes in him shall not perish but have eternal life". Further John 20:30-1 says "Jesus did many other miraculous signs in the presence of his disciples, which are not recorded in this book. But these are written that you may believe that Jesus is the Christ, the Son of God, and that by believing you may have life in his name." So being a Christian is about taking the decision to believe in Jesus and what He did, listen to Jesus and work out what believing and following Him means (through the Bible and Jesus' miracles), and doing it.

So just as econometrics isn't about having a particular model provided to you by some divine revelation, neither is Christianity, and in both one must be very careful to learn and to understand exactly what is going on, not what one thinks is going on, from one's childhood memories (econometrics = that undergrad class you had to take, Christianity = primary school).