This paper provides formulae for computing perturbation method approximations of unconditional variances of variables in nonlinear DSGE models. Spurious higher order terms that creep into multi-step ahead forecasts can produce explosive time paths frustrating traditional approaches to estimating...

This paper details some of the results of a student/teacher collaboration to develop computer algebra materials for use by students in an intermediate macroeconomics course. Many years ago the teacher required students solve macro models using a pencil and paper. For the most part these models...

We provide an overview of automatic differentiation (AD), a technique for the efficient computation of derivatives of functions defined in some programming language. We give a short explanation of how AD works, indicate the anticipated cost of derivatives computed using AD, and survey what AD...

When crossing the boundary of stability of a given dynamical system only indicates a bifurcation point and the type of the bifurcating solutions. But it doesn't tell us how and how many new solutions bifurcate or disappear in a bifurcation point. To answer this question one has to take into...

Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contained derivatives instruments. In this paper, we postpone to estimate both the expected shortfall and Value-at-Risk of a...

Sogenannte intangible Ressourcen eines Unternehmens sind f�r die Wettbewerbsf�higkeit eines Unternehmens von gro�er Bedeutung. Weithin bekannt ist auch die Tatsache, dass Wissen in Unternehmen in vielf�ltiger Weise vorliegt und unbedingt genutzt werden sollte, um den...

In this paper, I discuss the difference between accommodated evidence (i.e. when evidence is known first and a hypothesis is the proposed to explain and fit the observations) and predicted evidence (i.e., when evidence verifies the prediction of a hypothesis formulated before observing the...