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Parameter path estimation in unstable environments: The tvpreg command

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  • Yiru Wang

    (University of Pittsburgh)

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

Suggested Citation

  • Yiru Wang, 2024. "Parameter path estimation in unstable environments: The tvpreg command," Economics Virtual Symposium 2024 04, Stata Users Group.
    • Handle: RePEc:boc:econ24:04
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