Mean Group Instrumental Variable Estimation of Time-Varying Large Heterogeneous Panels with Endogenous Regressors

<p dir="ltr">The large heterogeneous panel data models are extended to the setting where the heterogenous coefficients are changing over time and the regressors are endogenous. Kernel-based non-parametric timevarying parameter instrumental variable mean group (TVP-IV-MG) estimator is proposed for the timevarying cross-sectional mean coefficients. The uniform consistency is shown and the pointwise asymptotic normality of the proposed estimator is derived. A data-driven bandwidth selection procedure is also proposed. The finite sample performance of the proposed estimator is investigated through a Monte Carlo study and an empirical application on multi-country Phillips curve with time-varying parameters.</p>