Comments on: Blog chatter vs prediction markets http://www.26econ.com/blog-chatter-vs-prediction-markets/ Online economics Mon, 08 Sep 2008 16:52:53 +0000 http://wordpress.org/?v=2.3.2 By: William Polley http://www.26econ.com/blog-chatter-vs-prediction-markets/#comment-2651 William Polley Sun, 20 Jan 2008 07:31:24 +0000 http://www.26econ.com/blog-chatter-vs-prediction-markets/#comment-2651 I'm not sure spurious is the right term for this one. I tend to think of spurious regression in cases of high R^2. (R^2 > D.W. is often cited in the literature.) The R^2 here is not particularly good. Steven is on the right track in asking about an omitted third variable. Jeff is correct as well. But there's more. The blog chatter is a more volatile series (just by eyeballing the chart). Part of this is probably due to the fact that many blogs quiet down or post lighter topics on weekends. This may explain the fairly regular dips in the series throughout the sample. There is also a weird lead/lag relationship in the data you post. It looks to me as if blog chatter was lagging the probability in late August/early September and then it was leading the probability back down in late September/early October. Again, I'm just eyeballing it, but take a closer look and see if you agree. It definitely looks like the blogs lag at the beginning. Whether they lead later on depends on how you squint while looking at the data perhaps. My money is on economic news and mainstream media references as driving both. The lead/lag relationship could be explained by the bloggers responding for a few days after some arrival of news to which Intrade responds immediately (lagging on the way up). When no adverse news arrives, the blogs say little and over a period of days the Intrade probability goes down (leading on the way down). Just a thought. I’m not sure spurious is the right term for this one. I tend to think of spurious regression in cases of high R^2. (R^2 > D.W. is often cited in the literature.) The R^2 here is not particularly good.

Steven is on the right track in asking about an omitted third variable. Jeff is correct as well. But there’s more.

The blog chatter is a more volatile series (just by eyeballing the chart). Part of this is probably due to the fact that many blogs quiet down or post lighter topics on weekends. This may explain the fairly regular dips in the series throughout the sample.

There is also a weird lead/lag relationship in the data you post. It looks to me as if blog chatter was lagging the probability in late August/early September and then it was leading the probability back down in late September/early October. Again, I’m just eyeballing it, but take a closer look and see if you agree. It definitely looks like the blogs lag at the beginning. Whether they lead later on depends on how you squint while looking at the data perhaps.

My money is on economic news and mainstream media references as driving both. The lead/lag relationship could be explained by the bloggers responding for a few days after some arrival of news to which Intrade responds immediately (lagging on the way up). When no adverse news arrives, the blogs say little and over a period of days the Intrade probability goes down (leading on the way down).

Just a thought.

]]> By: Steven Myers http://www.26econ.com/blog-chatter-vs-prediction-markets/#comment-2646 Steven Myers Sat, 19 Jan 2008 16:53:39 +0000 http://www.26econ.com/blog-chatter-vs-prediction-markets/#comment-2646 Facinating problem. I linked it and made comments at my blog (see http://learnecon.blogspot.com/2008/01/recession-blog-chatter-vs-prediction.html) Thanks. Facinating problem. I linked it and made comments at my blog (see http://learnecon.blogspot.com/2008/01/recession-blog-chatter-vs-prediction.html)

Thanks.

]]> By: Jeff http://www.26econ.com/blog-chatter-vs-prediction-markets/#comment-518 Jeff Wed, 14 Nov 2007 04:53:09 +0000 http://www.26econ.com/blog-chatter-vs-prediction-markets/#comment-518 I write about recession probabilities, but not because I see one as likely in the next twelve months. It is the need to deal with the obsession of other bloggers -- particularly non-economists, that drives the topic. Having said this, it just means that I am reflecting the overall sentiment, even though I do not agree. I am still an indicator.... I write about recession probabilities, but not because I see one as likely in the next twelve months. It is the need to deal with the obsession of other bloggers — particularly non-economists, that drives the topic.

Having said this, it just means that I am reflecting the overall sentiment, even though I do not agree. I am still an indicator….

]]> By: aaron http://www.26econ.com/blog-chatter-vs-prediction-markets/#comment-515 aaron Wed, 14 Nov 2007 03:52:59 +0000 http://www.26econ.com/blog-chatter-vs-prediction-markets/#comment-515 John: I got the Technorati data using their API (applications programming interface). Details are on their site here: http://www.technorati.com/developers/api/ ... I used the 'dailycounts' query to get the recession data for the past 180 days. It is returned in XML format which can be easily imported into Excel. The Intrade data can be downloaded by clicking the 'Advanced graphing' link on the page that I linked to. John: I got the Technorati data using their API (applications programming interface). Details are on their site here: http://www.technorati.com/developers/api/ … I used the ‘dailycounts’ query to get the recession data for the past 180 days. It is returned in XML format which can be easily imported into Excel. The Intrade data can be downloaded by clicking the ‘Advanced graphing’ link on the page that I linked to.

]]> By: John Whitehead http://www.26econ.com/blog-chatter-vs-prediction-markets/#comment-512 John Whitehead Wed, 14 Nov 2007 02:56:01 +0000 http://www.26econ.com/blog-chatter-vs-prediction-markets/#comment-512 Cool. How do you download these data? Cool. How do you download these data?

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