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2. Empirical Analysis of Labor Markets over Business Cycles: An International Comparison. (2015). Bruha, Jan ; Polansky, Jiri.
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1. Assumption 2(i) is a standard assumption for kernel functions. The commonly used Gaussian and uniform kernel functions satisfy Assumption 2(i). Assumption 2(ii) imposes smoothness constraints on the coefficient functions βj (), which is commonly used in literature; see Cai (2007) and Robinson (1989). Assumption 3(i)(ii) ensures that f (v;θ) is differentiable and the fourth moment of γ(v;θ) exists. The conditions of Eθ[γ(v1;θ)] = 0 and Eθ[v1γ(v1;θ)] 6= 0 are automatically satisfied when f (v;θ) is the density function of a Normal random variable. As pointed out in the proofs of Theorems 1 and 2, we need not assume Eθ[γ(v1;θ)] = 0 when E[x1] = 0. Assumptions 3 and 4 are automatically satisfied when f (v;θ) is the density function of a Normal random variable of the form f (v;θ) = f (v;η) = 1 p 2π η exp −v2 2η and η has a density function of the form π(η) = exp −η I[η > 0].
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9. E[xt ] = 0 in an application of Lemma A.1 of Gao (2007). Meanwhile, we will have Eθ γ(vt ;θ)x> t Σ−1 x xs x> s = Eθ γ(vt ;θ)
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1. Identification of Time-Varying Factor Models. (2024). Cheung, Ying Lun.
   In: Journal of Business & Economic Statistics.
   RePEc:taf:jnlbes:v:42:y:2024:i:1:p:76-94.

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2. Rolling window selection for out-of-sample forecasting with time-varying parameters. (2016). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU.
   In: Economics Working Papers.
   RePEc:upf:upfgen:1435.

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3. A Varying-Coefficient Panel Data Model with Fixed Effects: Theory and an Application to U.S. Commercial Banks. (2015). Zhang, Xiaohui ; GAO, Jiti ; Feng, Guohua ; Peng, Bin.
   In: Monash Econometrics and Business Statistics Working Papers.
   RePEc:msh:ebswps:2015-9.

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4. Efficient Estimation in Heteroscedastic Varying Coefficient Models. (2015). Wan, Lijie ; Wei, Chuanhua.
   In: Econometrics.
   RePEc:gam:jecnmx:v:3:y:2015:i:3:p:525-531:d:52630.

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5. A semiparametric panel approach to mortality modeling. (2015). Zhang, Xibin ; Li, Han ; Ohare, Colin.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:61:y:2015:i:c:p:264-270.

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6. Estimation in generalised varying-coefficient models with unspecified link functions. (2015). Li, Degui ; Xia, Yingcun ; Zhang, Wenyang.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:187:y:2015:i:1:p:238-255.

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7. Semiparametric model building for regression models with time-varying parameters. (2015). Zhang, Ting.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:187:y:2015:i:1:p:189-200.

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8. Modeling and testing smooth structural changes with endogenous regressors. (2015). Chen, Bin.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:185:y:2015:i:1:p:196-215.

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9. Orthogonality-projection-based estimation for semi-varying coefficient models with heteroscedastic errors. (2015). Zhao, Yan-Yong ; Ye, Xu-Guo ; Xu, Pei-Rong ; Lin, Jin-Guan.
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:89:y:2015:i:c:p:204-221.

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10. Quantile regression methods with varying-coefficient models for censored data. (2015). Zhou, Yong ; Wan, Alan T. K., ; Xie, Shangyu.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:88:y:2015:i:c:p:154-172.

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11. Panel conditional and multinomial logit with time-varying parameters. (2015). Lee, Myoung-jae ; Myoung-Jae, Lee.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:19:y:2015:i:3:p:317-337:n:4.

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12. Semiparametric varying-coefficient study of mean residual life models. (2014). Zhou, Yong ; Yang, Guangren.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:128:y:2014:i:c:p:226-238.

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13. Testing for structural breaks with local smoothers: A simulation study. (2014). Stengos, Thanasis ; Ozturk, Serda.
    In: Economics Letters.
    RePEc:eee:ecolet:v:125:y:2014:i:1:p:119-122.

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14. Detecting for Smooth Structural Changes in GARCH Models. (2013). Hong, Yongmiao ; Chen, Bin.
    In: Working Papers.
    RePEc:wyi:wpaper:002019.

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15. Functional Coefficient Models for Economic and Financial Data. (2013). CAI, ZONGWU.
    In: Working Papers.
    RePEc:wyi:wpaper:002009.

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16. Tying up loose ends: A note on the impact of omitting MA residuals from panel energy demand models based on the Koyck lag transformation. (2013). Hunt, Lester ; Broadstock, David.
    In: Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS).
    RePEc:sur:seedps:140.

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17. Forecasting and Tracking Real-Time Data Revisions in Inflation Persistence. (2013). Tierney, Heather ; Tierney, Heather L. R., .
    In: MPRA Paper.
    RePEc:pra:mprapa:53374.

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18. Forecasting and Tracking Real-Time Data Revisions in Inflation Persistence. (2013). Tierney, Heather ; Tierney, Heather L. R., .
    In: MPRA Paper.
    RePEc:pra:mprapa:51398.

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19. Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models. (2013). Li, Degui ; GAO, Jiti ; Chen, Xiangjin B. ; Silvapulle, Param.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2013-21.

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20. Nonparametric correlation models for portfolio allocation. (2013). Casas, Isabel ; Aslanidis, Nektarios.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:7:p:2268-2283.

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21. Estimation of varying coefficient models with time trend and integrated regressors. (2013). Li, Weiming.
    In: Economics Letters.
    RePEc:eee:ecolet:v:119:y:2013:i:1:p:89-93.

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22. Sovereign bond yield spreads: A time-varying coefficient approach. (2012). Bernoth, Kerstin ; Erdogan, Burcu .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:3:p:639-656.

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23. Testing conditional factor models. (2012). Kristensen, Dennis ; Ang, Andrew.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:106:y:2012:i:1:p:132-156.

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24. Semiparametric trending panel data models with cross-sectional dependence. (2012). Li, Degui ; GAO, Jiti ; Chen, Jia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:171:y:2012:i:1:p:71-85.

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25. Estimation of semiparametric locally stationary diffusion models. (2012). LINTON, OLIVER ; Koo, Bonsoo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:1:p:210-233.

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26. Functional coefficient regression models with time trend. (2012). Liang, Zhongwen.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:1:p:15-31.

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27. Forecasting and tracking real-time data revisions in inflation persistence. (2011). Tierney, Heather ; Tierney, Heather L. R., .
    In: MPRA Paper.
    RePEc:pra:mprapa:34439.

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28. Testing Conditional Factor Models. (2011). Kristensen, Dennis ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17561.

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29. Semiparametric Trending Panel Data Models with Cross-Sectional Dependence. (2011). Li, Degui ; GAO, Jiti ; Chen, Jia.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2011-15.

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30. Conditional beta pricing models: A nonparametric approach. (2011). Orbe, Susan ; Gil-Bazo, Javier ; Ferreira, Eva.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:12:p:3362-3382.

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31. Nonparametric estimation and testing of stochastic discount factor. (2011). Yuan, Yufei ; Ren, Yu ; Fang, Ying.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:8:y:2011:i:4:p:196-205.

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32. Real-time data revisions and the PCE measure of inflation. (2011). Tierney, Heather ; Tierney, Heather L. R., .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:4:p:1763-1773.

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33. Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects. (2011). Su, Liangjun ; Phillips, Peter ; Zhang, Yonghui ; Peter C. B. Phillips, .
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1832.

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34. Examining the Ability of Core Inflation to Capture the Overall Trend of Total Inflation. (2010). Tierney, Heather ; Tierney, Heather L. R., .
    In: MPRA Paper.
    RePEc:pra:mprapa:22409.

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35. Real-Time Data Revisions and the PCE Measure of Inflation. (2010). Tierney, Heather ; Tierney, Heather L. R., .
    In: MPRA Paper.
    RePEc:pra:mprapa:22387.

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36. Real-Time Data Revisions and the PCE Measure of Inflation. (2010). Tierney, Heather ; Tierney, Heather L. R., .
    In: MPRA Paper.
    RePEc:pra:mprapa:20625.

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37. Semiparametric estimation of locally stationary diffusion models. (2010). LINTON, OLIVER ; Koo, Bonsoo.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:58186.

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38. Semiparametric Estimation of Locally Stationary Diffusion Models. (2010). LINTON, OLIVER ; Koo, Bonsoo.
    In: STICERD - Econometrics Paper Series.
    RePEc:cep:stiecm:551.

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39. Evaluating Exclusion-from-Core Measures of Inflation using Real-Time Data. (2009). Tierney, Heather ; Tierney, Heather L. R., .
    In: MPRA Paper.
    RePEc:pra:mprapa:17856.

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40. Real Time Changes in Monetary Policy. (2009). Tierney, Heather ; Chauvet, Marcelle ; Tierney, Heather L. R., .
    In: MPRA Paper.
    RePEc:pra:mprapa:16199.

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41. A Local Examination for Persistence in Exclusions-from-Core Measures of Inflation Using Real-Time Data. (2009). Tierney, Heather.
    In: MPRA Paper.
    RePEc:pra:mprapa:13383.

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42. A Local Examination for Persistence in Exclusions-from-Core Measures of Inflation Using Real-Time Data. (2009). Tierney, Heather.
    In: MPRA Paper.
    RePEc:pra:mprapa:13089.

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43. Functional-coefficient models for nonstationary time series data. (2009). Park, Joon ; Li, Qi ; CAI, ZONGWU.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:148:y:2009:i:2:p:101-113.

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44. Nonparametric estimation of conditional VaR and expected shortfall. (2008). CAI, ZONGWU ; Wang, Xian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:120-130.

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45. Nonparametric estimation of conditional beta pricing models. (2008). Orbe, Susan ; Gil-Bazo, Javier ; Ferreira, Eva.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb082403.

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46. Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data. (2008). Kristensen, Dennis.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-37.

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47. A time varying coefficient model for panel data: Foreign Direct Investment in European OECD countries. (2007). Orbe, Susan ; Mariel, Petr ; Rodriguez, Carlos.
    In: BILTOKI.
    RePEc:ehu:biltok:200703.

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