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Income uncertainty contributes substantially to explaining the fall in consumption that marks the onset of the Great Depression. Consistent estimates of the variance of income measure income uncertainty from 1921‐30 and are produced using a linear moment model. This series provides a statistical link between the large erratic swings in income uncertainty after September 1929 and the Great Crash in the stock market. Comparison of the behavior of income uncertainty in the 1920s to the pre‐World War I and post‐World War II eras suggests that the experience after the Great Crash was historically unique.

Measures of scale elasticity and rate of technical change can be obtained nonparametrically in the Sandmo model of competitive firms with nonlinear risk preference responding to output price risk. Information on risk attitudes is not needed for measurement of scale elasticity because it is observable as the ratio of average to marginal cost, as in certainty models. The cross section of panel data sets can be used to develop a nonparametric marginal cost measure, which permits identification of scale elasticity; the technical change measure then follows from the scale measure and the time-series portion of the panel data set.

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