TFP volatility


#1

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!


#2

We used the following Matlab code to get the levels:

[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.


#3

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


#4

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


#5

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


#6

Hi professor,
I used your matlab code to transform Fernald’s series(dTFP) into TFP.
While i get the TFP series include negative values and the sequence increases first and then decreases.
Is there something wrong?Could you please tell me ?
Sorry! Thank you very much!


#7

The code above takes out the trend (the nanmean-part). So it is expected that it fluctuates around 0.