We develop non-parametric instrumental variable estimation and inferential theory for econometric models with possibly …

series and estimation of time varying parameter processes by well-known rolling regression estimation techniques. We … point for further research on numerous open problems including establishing estimation results of time-varying parameters …

modelling that enables stochastic structural change in model parameters and on model estimation by Bayesian or non …-parametric kernel methods. In the context of the estimation of covariance matrices of large dimensional panels, such data requires … applicable in econometric analysis beyond estimation of large covariance matrices. We discuss the utility of the robust …