Parameter path estimation in unstable environments: The tvpreg command

Atsushi Inoue (), Barbara Rossi (), Yiru Wang () and Lingyun Zhou ()
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Atsushi Inoue: Vanderbilt University
Barbara Rossi: ICREA—Universitat Pompeu Fabra
Yiru Wang: University of Pittsburgh
Lingyun Zhou: Tsinghua University

Stata Journal, 2025, vol. 25, issue 2, 374-406

Abstract: In this article, we introduce a novel command, tvpreg, that imple- ments two path estimators: 1) the asymptotically weighted average risk minimiz- ing path estimators by Müller and Petalas (2010, Review of Economic Studies 77: 1508–1539) and 2) the path estimators proposed by Inoue, Rossi, and Wang (2024b, Journal of Econometrics: art. 105726), namely, the time-varying-parameter local projections and time-varying-parameter instrumental-variables estimators, with either strong or weak instruments. The postestimation commands tvpplot and predict are designed to, respectively, visualize and store the estimation results.

Keywords: tvpreg; tvpplot; time variation; weighted average risk; local projection; vector autoregression; weak instruments (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1177/1536867X251341170

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