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.