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.
Time-Varying Parameters
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.