A nonparametric method to estimate time varying coefficients under seasonal constraints

Abstract

This paper proposes a new method to estimate nonparametrically a univariate time varying coefficients model. This estimation procedure allows to incorporate both, seasonal and smoothness constraints. The resulting estimator nests as particular cases many other estimators proposed in the literature. We derive its asymptotic bounds and we also show consistency and the asymptotic distribution. Finally, we illustrate its performance by estimating the Spanish money multiplier and we provide a data driven method to compute the smoothing parameters.