The Jacobian of the exponential function

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2021
Volume: 127
Issue: C

Authors (3)

Magnus, Jan R. (not in RePEc) Pijls, Henk G.J. (not in RePEc) Sentana, Enrique (Centro de Estudios Monetarios ...)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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 rotation matrices governing impulse response functions in structural vector autoregressions.

Technical Details

RePEc Handle
repec:eee:dyncon:v:127:y:2021:i:c:s0165188921000579
Journal Field
Macro
Author Count
3
Added to Database
2026-01-29