Rodríguez Poo, Juan M.; García, Ferreira; Eva, María; … - Departamento de Economía Aplicada III (Econometría y … - 2001
In this paper we propose a new method to estimate nonparametrically a time varying parameter model when some qualitative information from outside data (e.g. seasonality) is available. In this framework we make two main contributions. First, the resulting estimator is shown to belong to the class...