1. They do control for demographics.
2. They do account for temperature, by comparing geographically close cities with different activity inequality levels.
3. They do account for "cost". They repeatedly compare cities and countries with roughly the same income distributions.
Also, as far as I can tell, the paper draws _exactly_ the opposite conclusions as what you state. In no way do they claim that rich people exercise more, nor do they claim that demographics have a strong correlation with exercise.
From what I read, they come to two conclusions:
-There is a correlation between activity inequality and obesity.
-There is a negative correlation between activity inequality and walkability.
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As a scientist I would have rejected this Nature paper based on highly biased data collection.I would guess:
1) people somehow interested in their fitness
2) people having some dietary issues (more probably believing to be more fat than what they should be and looking for a shortcut to get slimmer)
Customer of type #1 will likely do lots of steps, while customer of type #2 is more likely to do much less.
It is very possible that in whole coutries there is a preponderance of type #1 and in other ones of type #2.
2. Temperature variations are not accounted for.
3. "The cost to exercise" (e.g. cost to live in walkable areas, average cost of gyms, etc.) is not accounted for.
Furthermore, the website (haven't read the paper yet) implies walkability is always good. Walking around during the summer time in a hot climate like Texas will get you killed [1]
The analysis is obviously good, however it basically says what's already obvious, rich people exercise more (in the case of United States). Is there something inherent in the areas that make people more or less likely to exercise or is it the demographics? Most of the evidence points to the latter. This raises the question: since you inherently can't change your demographic, what difference does it make?
[1] This happened just a couple weeks ago:
http://www.foxnews.com/health/2017/06/23/texas-boy-scout-die...