We study the determinants of sovereign bond yield spreads across 10 EMU countries
between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model …

This paper studies a time-varying coefficient time series model with a time trend function and
serially correlated errors to characterize the nonlinearity, nonstationarity, and trending …

The article contains an overview over locally stationary processes. At the beginning, time
varying autoregressive processes are discussed in detail–both as a deep example and an …

Checking parameter stability of econometric models is a long‐standing problem. Almost all
existing structural change tests in econometrics are designed to detect abrupt breaks. Little …

This paper proposes a new penalized time-varying model averaging method to determine
optimal time-varying combination weights for candidate models, which avoids over-fitting …

In recent years, a lot of econometric literature has been devoted to estimating time varying
coefficients in regression models. Here, a new method based on smoothers is proposed …

Time-varying coefficient models have been widely used to characterize changing
relationships among economic and financial variables. The existing literature usually …

Modeling and detecting parameter stability of econometric models is a long standing
problem. Most existing estimation and testing methods are designed for models without …

We propose a model‐free test for strict stationarity. The idea is to estimate a nonparametric
time‐varying characteristic function and compare it with the empirical characteristic function …

Using a historical data set and recent advances in non-parametric time series modelling, we
investigate the nexus between tourism flows and house prices in Germany over nearly 150 …