Resumen de The Jacobian of the Exponential Function

Jan R. Magnus, Henk G. J. Pijls, Enrique Sentana Iváñez

• 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.