inconsistent. The bias arises in settings with many regressors because the normalized OLS design matrix remains asymptotically … random and correlates with the regression error when only weak (but not strict) exogeneity holds. This bias' magnitude … increases with the number of regressors and their average autocorrelation. We propose an innovative approach to bias correction …

This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose … a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel …