OK, time for some plugging :)
Francesco Valentini and I have just released version 0.9 of the "ketvals" 
package, that provides OLS and IV estimation of linear model with 
time-varying parameters using a non-parametric technique developed by 
Giraitis, Kapetnaios and others.
Download, enjoy, and send us bug reports!
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   Riccardo (Jack) Lucchetti
   Dipartimento di Scienze Economiche e Sociali (DiSES)
   Università Politecnica delle Marche
   (formerly known as Università di Ancona)
   r.lucchetti(a)univpm.it
   
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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