Parameter path estimation in unstable environments: The tvpreg command

Abstract

In this article, we introduce a novel command, tvpreg, that implements two path estimators: 1) the asymptotically weighted average risk minimizing 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

st0776 tvpreg tvpplot time variation weighted average risk local projection vector autoregression weak instruments

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