We develop a nonparametric series estimation framework for cointegrated systems with time-varying coefficients and propose an easy-to-implement, asymptotically efficient extension of the dynamic OLS estimator.

This paper investigates practical issues associated with the use of the local estimator in forecasting models subject to parameter instability.

This paper develops a local continuously updated GMM estimator for nonparametric time-varying coefficient moment condition models.

This paper considers a large heterogeneous panel data models with time-varying parameters and endogenous regressors.

This paper proposes a hierarchical shrinkage approach for multi-country VAR models and finds that it works particularly well for inflation forecasting.

This paper proposes a generalized spatial system GMM (SGMM) estimation for short dynamic panel data models with spatial errors and fixed effects.