The Jacobian of the exponential function
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| Publication date | 06-2021 |
| Journal | Journal of Economic Dynamics & Control |
| Article number | 104122 |
| Volume | Issue number | 127 |
| Number of pages | 15 |
| Organisations |
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| 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 parameterization of rota- tion matrices governing impulse response functions in structural vector autoregressions. |
| Document type | Article |
| Language | English |
| Published at |
https://doi.org/10.1016/j.jedc.2021.104122
(Final published version)
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