A profit-maximizing monopolist sells multi-attribute consumer data to a firm. The seller is uncertain about which consumer characteristic the buyer is interested in forecasting and how much the buyer values information. In order to screen among buyers along both margins, the seller chooses a...

Consider two agents who learn the value of an unknown parameter by observing a sequence of private signals. Will the agents commonly learn the value of the parameter, i.e., will the true value of the parameter become approximate common-knowledge? If the signals are independent and identically...

We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise,...

I construct a state space model with unawareness following Aumann (1976). Dekel, Lipman and Rustichini (1998a) show that standard state space models are incapable of representing unawareness. The model circumvents the impossibility result by endowing the agent with a subjective state space that...

This paper extends Li (2008b) to the multi-agent environment, where players reason about each other's awareness as well as knowledge, subject to their own awareness constraints. I characterize the interactive knowledge hierarchies under unawareness, which significantly differ from those in the...

I develop a set-theoretic model of unawareness without making any structural assumptions on the underlying state space. Unawareness is characterized as a measurability constraint that results in players' reasoning about a "coarse" subjective algebra of events. The model is shown to be...

We consider a principal who allocates an indivisible object among a finite number of agents who arrive on-line, each of whom prefers to have the object than not. Each agent has access to private information about the principal's payoff if he receives the object. The decision to allocate the...

This paper demonstrates that a misspecified model of information processing interferes with long-run learning and allows inefficient choices to persist in the face of contradictory public information. I consider an observational learning environment where agents observe a private signal about a...

Banks produce short-term debt for transactions and storing value. The value of bank money must not vary over time so agents can easily trade this debt at par. This requires that no agent finds it profitable to produce costly private information about the bank's loans. To produce safe liquidity...

A principal wishes to distribute an indivisible good to a population of budget-constrained agents. Both valuation and budget are an agent's private information. The principal can inspect an agent's budget through a costly verification process and punish an agent who makes a false statement. I...