Journal
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
Volume 127, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.jedc.2021.104122
Keywords
Matrix differential calculus; Orthogonal matrix; Impulse response analysis; Continuous-time Markov chain; Ornstein-Uhlenbeck process
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Funding
- Spanish Ministry of Economy, Industry and Competitiveness [ECO 2017-89689]
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The paper presents closed-form expressions for the Jacobian of the matrix exponential function for both diagonalizable and defective matrices, and applies them to two cases of interest in macroeconometrics.
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. (C) 2021 Elsevier B.V. All rights reserved.
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