The Jacobian of the Exponential Function

• Jan R. Magnus ^[1] ; Henk G. J. Pijls ^[2] ; Enrique Sentana ^[3]
  1. [1] VU University Amsterdam

     VU University Amsterdam

     Países Bajos

     
  2. [2] University of Amsterdam

     University of Amsterdam

     Países Bajos

     
  3. [3] CEMFI

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• Localización: Documentos de Trabajo ( CEMFI ), Nº. 5 (CEMFI Working Paper No. 2005, June 2020), 2020
• Idioma: inglés
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• Dialnet Métricas: 2 Citas
• Resumen

  • 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.