Arbeitspapier
The Jacobian of the exponential function
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. TI 2020-035/III
- Classification
-
Wirtschaft
Miscellaneous Mathematical Tools
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Computational Techniques; Simulation Modeling
- Subject
-
Matrix differential calculus
Orthogonal matrix
Continuous-time Markov chain
Ornstein-Uhlenbeck process
- Event
-
Geistige Schöpfung
- (who)
-
Magnus, Jan R.
Pijls, Henk G.J.
Sentana, Enrique
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2020
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Magnus, Jan R.
- Pijls, Henk G.J.
- Sentana, Enrique
- Tinbergen Institute
Time of origin
- 2020
Other Objects (12)
On the Efficient Influence Function and the Efficient Score Function
On the Optimal Policy for Deterministic and Exponential Polling Systems
Bayesian Analysis of Realized Matrix-Exponential GARCH Models
The Degree Measure as Utility Function over Positions in Networks
The Multinationalization of the Transport Sector
Who Values The Status of The Entrepreneur?
Russian Reforms: the Return of the Peasant?
Increasing the Well-Being of Others On-the-Job and Outside the Workplace
Panel Data Estimates of the Production Function and Product and Labor Market Imperfections
Measuring and Explaining the Limited Take-up of the Housing Benefit in the Netherlands
Null or Zero Players: The Difference between the Shapley Value and the Egalitarian Solution
The Commuting Distribution
On the Efficient Influence Function and the Efficient Score Function
On the Optimal Policy for Deterministic and Exponential Polling Systems
Bayesian Analysis of Realized Matrix-Exponential GARCH Models
The Degree Measure as Utility Function over Positions in Networks
The Multinationalization of the Transport Sector
Who Values The Status of The Entrepreneur?
Russian Reforms: the Return of the Peasant?
Increasing the Well-Being of Others On-the-Job and Outside the Workplace
Panel Data Estimates of the Production Function and Product and Labor Market Imperfections
Measuring and Explaining the Limited Take-up of the Housing Benefit in the Netherlands
Null or Zero Players: The Difference between the Shapley Value and the Egalitarian Solution
The Commuting Distribution
On the Efficient Influence Function and the Efficient Score Function
On the Optimal Policy for Deterministic and Exponential Polling Systems
Bayesian Analysis of Realized Matrix-Exponential GARCH Models
The Degree Measure as Utility Function over Positions in Networks
The Multinationalization of the Transport Sector
Who Values The Status of The Entrepreneur?
Russian Reforms: the Return of the Peasant?
Increasing the Well-Being of Others On-the-Job and Outside the Workplace
Panel Data Estimates of the Production Function and Product and Labor Market Imperfections
Measuring and Explaining the Limited Take-up of the Housing Benefit in the Netherlands
Null or Zero Players: The Difference between the Shapley Value and the Egalitarian Solution