A partially time varying regression model

This paper explores a semiparametric version of a time varying regression, where a subset of the regressors have a fixed coefficient and the rest a time varying one. We provide an estimation method and establish associated theoretical properties of the estimates. In particular, we show that the estimator of the fixed regression coefficient preserves the parametric rate of convergence. Theoretical properties of the estimator are confirmed by Monte Carlo experiments and illustrated by an empirical example.