In this paper, we consider a class of time-varying panel data models with individual-specific regression coefficients and common factors where both the serial correlation and cross-sectional dependence among error terms can be present. Based on an initial estimator of factors, we propose a...

This technical supplement contains the online Appendix D of "Nonparametric Time-Varying Panel Data Models with Heterogeneity". The proof of Lemma B.9 is provided in Appendix D.1 and Appendix D.2 proves Lemmas C.1 to C.9