An asymptotic theory is developed for the kernel density estimate of a random walk and the kernel regression estimator of a nonstationary first order autoregression. The kernel density estimator provides a consistent estimate of the local time spent by the random walk in the spatial vicinity of...

The nonparametric censored regression model is y = max[c, m(x) + e], where both the regression function m(x) and the distribution of the error e are unknown, but the fixed censoring point c is known. This paper provides a simple consistent estimator of the derivative of m(x) with respect to each...

An indexed unit of account is a money analogue, used to express prices; the unit's purchasing power is defined by an index. Indexed units of account are not true money in that they are not used as a medium of exchange. The first successful indexed unit of account, the Unidad de Fomento (UF) has...

We investigate the outcomes of simultaneous price competition in the presence of private information on the demand side. Each of two sellers offers a different variety of a good to a buyer endowed with a private binary signal on their relative quality. We analyze how the unique equilibrium of...

The swiftness and devastating impact of recent financial crises have taken many market participants by surprise, and pose challenges for economists seeking a theory of the onset of a crisis. We propose such a theory based on two features. The actions of diverse economic actors which undermine...

We consider a general model of dynamic common agency with symmetric information. We focus on Markov perfect equilibria and characterize the equilibrium set for a refinement of the Markov perfect equilibria. Particular attention is given to the existence of a marginal contribution equilibrium...

Home equity conversion as presently constituted or proposed usually does not deal well with the potential problem of moral hazard. Once homeowners know that the risk of poor market performance of their homes is borne by investors, they have an incentive to neglect to take steps to maintain the...

This paper revisits Wald's (1947) sequential experimentation paradigm, now assuming that an impatient decision maker can run variable-size experiments each period at some increasing and strictly convex cost before finally choosing an irreversible action. We translate this natural discrete time...

We compare the Skiadas approach with the standard Savage framework of choice under uncertainty. At first glance, properties of Skiadas "conditional preferences" such as coherence and disappointment seem analogous to similarly motivated notions of decomposability and disappointment aversion...

The basic distinction in the optimization conditions between the general equilibrium model of a T period exchange economy and a strategic market game process model is between a set of equations homogeneous of order zero and a set of nonhomogeneous equations. The latter have an amount M of...