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.