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Magnus, JanR., Pijls, HenkG.J. and Sentana, E. (2021). The Jacobian of the exponential function Journal of Economic Dynamics and Control, 127:1--15.

  • Affiliated author
  • Publication year
    2021
  • Journal
    Journal of Economic Dynamics and Control
View publication

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 rotation matrices governing impulse response functions in structural vector autoregressions.