| Authors |
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| Publication date |
06-2021
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| Journal |
Journal of Economic Dynamics & Control
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| Article number |
104122
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| Volume | Issue number |
127
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| Number of pages |
15
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| Organisations |
-
Faculty of Science (FNWI) - Korteweg-de Vries Institute for Mathematics (KdVI)
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Faculty of Science (FNWI)
|
| 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 parameterization of rota- tion matrices governing impulse response functions in structural vector autoregressions.
|
| Document type |
Article
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| Language |
English
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| Published at |
https://doi.org/10.1016/j.jedc.2021.104122
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