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! ------------------------------------------------------- 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 -------------------------------------------------------