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Parameter path estimation in unstable environments: The tvpreg command

Author

Listed:
  • Atsushi Inoue

    (Vanderbilt University)

  • Barbara Rossi

    (ICREA—Universitat Pompeu Fabra)

  • Yiru Wang

    (University of Pittsburgh)

  • Lingyun Zhou

    (Tsinghua University)

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.

Suggested Citation

  • Atsushi Inoue & Barbara Rossi & Yiru Wang & Lingyun Zhou, 2025. "Parameter path estimation in unstable environments: The tvpreg command," Stata Journal, StataCorp LLC, vol. 25(2), pages 374-406, June.
    • Handle: RePEc:tsj:stataj:v:25:y:2025:i:2:p:374-406
    DOI: 10.1177/1536867X251341170
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