Dear friends,
I have encountered a simple problem. And it may be not related to dynare.
I saw Prof. Pfeifer's paper(2014) used Fernald's newest data as TFP.
Is it also measured as TFP volatility?
Also, I am confused how to transform Fernald's series (dTFP) into TFP.
Is it just the inverse of log difference?
Sorry! Thanks in advance!
Dynare forums
Forums for asking questions, posting comments and uploading examples related to Dynare
TFP volatility
Forum rules
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.
5 posts
• Page 1 of 1
TFP volatility
by zhanghuifd » Tue May 16, 2017 2:35 am
Last edited by zhanghuifd on Tue May 16, 2017 11:56 pm, edited 1 time in total.
- zhanghuifd
- Posts: 36
- Joined: Tue Mar 21, 2017 8:14 am
Re: TFP volatility
by jpfeifer » Tue May 16, 2017 6:07 am
We used the following Matlab code to get the levels:
where the first period is now 1947Q2.
- Code: Select all
[d_TFP]=xlsread('fernald_tfp.xlsx','quarterly','N4:N276');
tfp_obs = cumsum((d_TFP-nanmean(d_TFP))/400); % as Fernald series is annualized in percent
where the first period is now 1947Q2.
- jpfeifer
- Posts: 6940
- Joined: Sun Feb 21, 2010 4:02 pm
- Location: Cologne, Germany
Re: TFP volatility
by zhanghuifd » Tue May 16, 2017 7:09 am
Hi, professor!
Thanks for your help!!
(Some other literature also uses the method of garch to compute it.)
Thanks for your help!!
(Some other literature also uses the method of garch to compute it.)
- zhanghuifd
- Posts: 36
- Joined: Tue Mar 21, 2017 8:14 am
Re: TFP volatility
by jpfeifer » Tue May 16, 2017 11:19 am
GARCH is a different concept without volatility shocks and thus not really a structural approach suitable for models.
- jpfeifer
- Posts: 6940
- Joined: Sun Feb 21, 2010 4:02 pm
- Location: Cologne, Germany
Re: TFP volatility
by zhanghuifd » Tue May 16, 2017 11:58 pm
Hi, professor!
Okay. So much thanks for your advice!
Okay. So much thanks for your advice!
- zhanghuifd
- Posts: 36
- Joined: Tue Mar 21, 2017 8:14 am
5 posts
• Page 1 of 1
Who is online
Users browsing this forum: Google [Bot] and 11 guests