Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/220072
Authors: 
Magnus, Jan R.
Pijls, Henk G.J.
Sentana, Enrique
Year of Publication: 
2020
Series/Report no.: 
Tinbergen Institute Discussion Paper TI 2020-035/III
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.
Subjects: 
Matrix differential calculus
Orthogonal matrix
Continuous-time Markov chain
Ornstein-Uhlenbeck process
JEL: 
C65
C32
C63
Document Type: 
Working Paper

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