Semiparametric varying parameter panel data models: An application po estimation of speed of convergence

In this paper we propose a semiparametric model for studying a general regression relationship with varying coefficients. We then develop a local linear instrumental variable method with a kernel weight function to estimate the smooth varying coefficient function. The consistency and asymptotic normality are established. An application of the proposed method is presented with an estimation of the speed of convergence of a panel of cross-countries per capita output.