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Parameter path estimation in unstable environments: The tvpreg command
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DOI：10.1177/1536867x251341170.png)
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Abstract
En 中文
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:
tvpreg
path estimators
time-varying parameters
local projections
instrumental variables
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