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Magnus, JanR. (2024). A gentle introduction to matrix calculus Journal of Econometrics, 244(1):1--23.

  • Affiliated author
  • Publication year
    2024
  • Journal
    Journal of Econometrics
View publication

Matrix calculus is an important tool when we wish to optimize functions involving matrices or perform sensitivity analyses. This tutorial is designed to make matrix calculus more accessible to graduate students and young researchers. It contains the theory that would suffice in most applications, many fully worked-out exercises and examples, and presents some of the {\textquoteleft}tacit knowledge{\textquoteright} that is prevalent in this field.