The quote is from “Let’s take the con out of econometrics” (PDF), American Economic Review 73(1), March 1983. In full:
"This is a sad and decidedly unscientific state of affairs we find ourselves in. Hardly anyone takes data analyses seriously. Or perhaps more accurately, hardly anyone takes anyone else's data analyses seriously. Like elaborately plumed birds who have long since lost the ability to procreate but not the desire, we preen and strut and display our t-values."The Economist article describes how "instrumental variables" have been used to address these problems, and reviews two recent articles criticixing these techniques. Angus Deaton of Princeton contends that using such instruments to estimate causal parameters is like choosing to let light “fall where it may, and then proclaim[ing] that whatever it illuminates is what we were looking for all along.”
The Economist's conclusion:
"This is too harsh. It is no doubt possible to use instrumental variables to estimate effects on uninteresting subgroups of the population. But the quarter-of-birth study, for example, shone light on something that was both interesting and significant... Proponents of instrumental variables also argue that accurate answers to narrower questions are more useful than unreliable answers to wider questions... A more legitimate fear is that important questions for which no good instrumental variables can be found are getting short shrift because of economists’ obsession with solving statistical problems."
Leamer is quite the wit. Here's another quip from about half-way through the paper: "This rhetoric is understandably tiring. Methodology, like sex, is better demonstrated than discussed, though often better anticipated than experienced. Accordingly, let me give you an example..."