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!
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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
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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.
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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.)
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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.
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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!
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