Optimal bandwidth selection for forecasting under parameter instability
This paper investigates practical issues associated with the use of the local estimator in forecasting models subject to parameter instability.
Estimating smooth structural change in cointegrated system with nearly or mildly integrated regressors
This paper derives the asymptotic properties of the Nadaraya-Watson type local level regression estimator of time–varying cointegrating coefficients when the regressors are either nearly or mildly integrated.
Local GMM Estimation for Nonparametric Time-Varying Coefficient Moment Condition Models
This paper develops a local continuously updated GMM estimator for nonparametric time-varying coefficient moment condition models.
Mean group instrumental variable estimation of time-varying large heterogeneous panels with endogenous regressors
This paper considers a large heterogeneous panel data models with time-varying parameters and endogenous regressors.
Macroeconomic forecasting in a multi-country context
This paper proposes a hierarchical shrinkage approach for multi-country VAR models and finds that it works particularly well for inflation forecasting.
A Monte Carlo comparison of GMM and QMLE estimators for short dynamic panel data models with spatial errors
This paper proposes a generalized spatial system GMM (SGMM) estimation for short dynamic panel data models with spatial errors and fixed effects.