Dynare forums

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!

We used the following Matlab code to get the levels:

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.

Hi, professor!
Thanks for your help!!
(Some other literature also uses the method of garch to compute it.)

GARCH is a different concept without volatility shocks and thus not really a structural approach suitable for models.

Hi, professor!
Okay. So much thanks for your advice!