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Parameter path estimation in unstable environments: The tvpreg command

Atsushi Inoue et al.

Stata Journal2025https://doi.org/10.1177/1536867x251341170article
AJG 2
Weight
0.41

What the paper says

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.

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https://doi.org/https://doi.org/10.1177/1536867x251341170

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@article{atsushi2025,
  title        = {{Parameter path estimation in unstable environments: The tvpreg command}},
  author       = {Atsushi Inoue et al.},
  journal      = {Stata Journal},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1177/1536867x251341170},
}

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Parameter path estimation in unstable environments: The tvpreg command

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Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.25 × 0.4 = 0.10
M · momentum0.55 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.