Parameter path estimation in unstable environments: The tvpreg command

Yiru Wang
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Yiru Wang: University of Pittsburgh

Economics Virtual Symposium 2024 from Stata Users Group

Abstract: This article introduces a novel command, tvpreg, that implements the following path estimators: (i) the asymptotically weighted average risk minimizing path estimators by Müller and Petalas, 2010, Review of Economic Studies 77: 1508–1539; (ii) and the path estimators proposed in Inoue, Rossi, and Wang, 2024, Journal of Econometrics: 105726, namely, the time-varying parameter local projections, the time-varying parameter instrumental-variables estimator, and the version of the la

Date: 2024-11-18
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