Title

predict —— Obtain fitted values, residuals, time-varying coefficients and impulse responses after tvpreg.

Syntax

predict newvarlist
[, xb residual y(varlist) h(#) coef(namelist) coefub(namelist) coeflb(namelist) varirf(namelist) varirfub(namelist) varirflb(namelist)]

where the options xb, residual, coef(namelist), coefub(namelist), coeflb(namelist), varirf(namelist), varirfub(namelist), and varirflb(namelist) are mutually exclusive.

The number of variables specified in newvarlist should be equal to the number of variables specified in y(varlist)
or the number of parameter names specified in coef(namelist), coefub(namelist), coeflb(namelist), varirf(namelist), varirfub(namelist), or varirflb(namelist).

xb specifies that the fitted value is stored.
This is the default when no option is specified.

residual specifies that the residual is stored.

y(varlist) specifies the dependent (instrumented) variables whose (first-stage) fitted value or residual is stored.
The default is the first dependent variable.
this option only applies when option xb or residual is specified.

h(#) specifies the number of horizon used in two cases:
(1) for local projection, when xb, residual, coef(namelist), coefub(namelist), or coeflb(namelist) is specified, and
(2) for the vector autoregressive model, when varirf(namelist), varirfub(namelist), or varirflb(namelist) is specified.
The default is the smallest number of horizon specified by the nhorizon(numlist) option in the tvpreg estimation.

coef(namelist) specifies the parameter name (list) whose time-varying-parameter estimate is stored as new variables.
The parameter name is stored in e(coefname).
To store the slope parameters, namelist is specified by "yvar1:xvar1 yvar2:xvar2 ..." and locates the parameter to be stored.
These parameters correspond to the coefficients of the variables xvar# in the equations for yvar#.
To store the covariance matrix parameters when cholesky is specified,
namelist is
specified by "aij ... li ...",
where aij denotes the i-th row and j-th column element in A(t),
li denotes the i-th element in lnσ(t);
A(t)Σ(e,t)A(t)' = Σ(ε,t)Σ(ε,t)'; σ(t)=diag(Σ(ε,t));
A(t) is a lower-triangular matrix with ones on the main diagonal;
Σ(e,t) is the covariance matrix; and i > j.
To store the convariance matrix parameters when cholesky is not specified,
namelist is specified by "vij ...",
where vij denotes the i-th row and j-th column element in the covariance matrix Σ(e,t),
and i ≥ j.

coefub(namelist) specifies the parameter name (list) whose upper bound of the time-varying-parameter estimate is stored as new variables.
The format of namelist is the same as the one in option coef(namelist).

coeflb(namelist) specifies the parameter name (list) whose lower bound of the time-varying-parameter estimate is stored as new variables.
The format of namelist is the same as the one in option coef(namelist).

varirf(namelist) specifies the parameter name (list) whose time-varying-parameter vector autoregression impulse responses is stored as new variables.
The parameter name is stored in e(varirfname).
namelist is specified as "var1:shock1 var2:shock2 ..." and locates the impulse response to be stored,
where var (shock) is the variable (shock) of interest.
This option only applies when the estimator option is var.

varirfub(namelist) specifies the parameter name (list) whose upper bound of the time-varying-parameter vector autoregression impulse responses is stored as new variables.
The format of namelist is the same as the one in option varirf(namelist).

varirflb(namelist) specifies the parameter name (list) whose lower bound of the time-varying-parameter vector autoregression impulse responses is stored as new variables.
The format of namelist is the same as the one in option varirf(namelist).