EconPapers    
Economics at your fingertips  
 

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: C65 C32 C63 (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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://papers.tinbergen.nl/20035.pdf (application/pdf)

Related works:
Working Paper: The Jacobian of the Exponential Function (2020) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20200035

Access Statistics for this paper

More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Bibliographic data for series maintained by Tinbergen Office +31 (0)10-4088900 ().

 
Page updated 2021-04-10
Handle: RePEc:tin:wpaper:20200035