Recently, there has been considerable work on stochastic time-varying coefficient models as vehicles for modelling structural change in the macroeconomy with a focus on the estimation of the unobserved paths of random coefficient processes. The dominant estimation methods, in this context, are...

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently, work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference in the case of stationary panel regressions with a...