2 papers
econ.EM2026
Inference on Linear Regressions with Two-Way Unobserved Heterogeneity
Hugo Freeman, Dennis Kristensen
We develop a general estimation and inference procedure for the common parameters in linear panel data regression models with nonparametric two-way specification of unobserved hete…
econ.EM2025
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models
Dennis Kristensen, Young Jun Lee
We develop a novel asymptotic theory for local polynomial extremum estimators of time-varying parameters in a broad class of nonlinear time series models. We show the proposed esti…