The Jacobian of the exponential function
Jan Magnus (),
Henk G.J. Pijls and
Enrique Sentana
Additional contact information
Henk G.J. Pijls: University of Amsterdam
No 20-035/III, Tinbergen Institute Discussion Papers from Tinbergen Institute
Abstract:
We derive closed-form expressions for the Jacobian of the matrix exponential function for both diagonalizable and defective matrices. The results are applied to two cases of interest in macroeconometrics: a continuous-time macro model and the parametrization of rotation matrices governing impulse response functions in structural vector autoregressions.
Keywords: Matrix differential calculus; Orthogonal matrix; Continuous-time Markov chain; Ornstein-Uhlenbeck process (search for similar items in EconPapers)
JEL-codes: C32 C63 C65 (search for similar items in EconPapers)
Date: 2020-06-20
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Citations: View citations in EconPapers (3)
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https://papers.tinbergen.nl/20035.pdf (application/pdf)
Related works:
Journal Article: The Jacobian of the exponential function (2021) 
Working Paper: The Jacobian of the Exponential Function (2020) 
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20200035
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