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.
- Sprache
-
Englisch
- Erschienen in
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Series: Tinbergen Institute Discussion Paper ; No. TI 2020-035/III
- Klassifikation
-
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
- Thema
-
Matrix differential calculus
Orthogonal matrix
Continuous-time Markov chain
Ornstein-Uhlenbeck process
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Magnus, Jan R.
Pijls, Henk G.J.
Sentana, Enrique
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Magnus, Jan R.
- Pijls, Henk G.J.
- Sentana, Enrique
- Tinbergen Institute
Entstanden
- 2020
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