df__dx function

Computes numerical first order derivative of f(x)

df__dx(f, x)

Arguments

• f: function which contains vector (J x T) valued function handle
• x: parameter values

Returns

transformed matrix (MN x JT)

References

This function is based on the "df__dx" function by Le and Singleton (2018).

"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."

(Euro Area Business Cycle Network Training School - Term Structure Modelling). Available at: https://cepr.org/40029