I have a friend in Stanford math who's failing out. I know it's not the same program but his reasons are probably comparable to some who fail out in econ. In his case it is that his undergrad wasn't very rigorous (wow, you can tell that I'm studying metrics -- I wanted to say "robust"), plus that he lacks a bit in ability compared to the other students. Plus that he says the other students are competitive to the point of being nasty.
Going by other people rather than just him, I would add to the list that you have to be able to deal with having something confuse you. A lot of people have never encountered anything they found hard before, and some people know how to deal with it and some don't. (Don't: avoid it, freak out over it, or think you're incompetent. Do: realize everyone has something they don't get, that the things people don't get will be different, and ask someone to explain it. It's *especially* important not to think you're incompetent, because I've observed one person acting that way and if you think you'll do worse you really will. (This is also independently confirmed in all sorts of experiments, that confidence has a role.) Plus people will start to actually think you're bad if you act like you're bad.)