Ultra-high frequency data are complete transactions data which inherently arrive at random times. Marked point processes provide a theoretical framework for analysis of such data sets. The ACD model developed by Engle and Russell (1995) is then applied to IBM transactions data to develop...

This paper studies the econometric problems associated with estimation of a stochastic process that is endogenously sampled. Our interest is to infer the law of motion of a discrete-time stochastic process {pt} that is observed only at a subset of times {t1,..., tn} that depend on the outcome of...

Training a Multi-Layer Perceptron (MLP) to achieve a minimum level of MSE is akin to doing Non-Linear Regression (NLR). Therefore, we use available econometric theory and the corresponding tools in R. Only if certain assumptions about the error term in the Data Generating Process are in place,...

The financing of public employee pensions has become an issue of growing public concern. This paper examines the fundinq status of teacher pension plans for the fifty states and for selected localities for the decade, 1971-1980. A pension underfunding equation based upon actuarial principles is...

P. Samuelson showed clearly in 1952 that a mathematical economics analysis using abstract symbols can be written out in clear English(or any other language) as well.Samuelson’s assessment of the interchangeability of a correctly translated mathematical analysis into English was clearly...

Game theory and econometrics are central tools in economic analysis. In this paper, we study what happens if players in a game use econometric tools to form their opinion about the other players' behavior. In particular, we analyze the case where each player observes a number of outcomes of a...

This essay sets out a framework for evaluating empirical work in terms of the ability of the data to provide adequate parameter estimates and hypothesis tests about the true underlying structure. Problems of aggregation, representativeness and structural change are discussed in detail. These...

This is the partial manuscript of a book developing the tools of nonstandard analysis, geared to applications in mathematical economics. It was written over the period 1993-2008. There is no plan to complete and publish it