This paper considers statistical inference for the heteroscedastic varying coefficient model. We propose an efficient estimator for coefficient functions that is more efficient than the conventional local-linear estimator. We establish asymptotic normality for the proposed estimator and conduct...

This paper considers statistical inference for the heteroscedastic varying coefficient model. We propose an efficient estimator for coefficient functions that is more efficient than the conventional local-linear estimator. We establish asymptotic normality for the proposed estimator and conduct...

Using a global panel on research and development (R&D) expenditures, this paper documents that on average poor countries do far less R&D than rich as a share of GDP. This is arguably counter intuitive since the gains from doing the R&D required for technological catch up are thought to be very...

This paper studies inflation persistence with time-varying coefficient autoregressions for twelve central European countries,in comparison with the United States and the euro area. Inflation persistence tends to be higher in times of high inflation. Since the oil price shocks, inflation...

When analyzing panel data using regression models, it is often reasonable to allow for time-varying covariate effects. We propose a novel approach to modelling timevarying coefficients in panel data regressions, which is based on penalized regression techniques. To illustrate the usefulness of...