Giraitis, Kapetanios, and Marcellino (Journal of Econometrics, 2020) proposed a kernel-based
time-varying coefficients IV estimator. By using entirely different code, We broadly replicate
the simulation results and the empirical application on the Phillips Curve but we note that a
small coding mistake might have affected some of the reported results. Further, we extend the
results by using a different sample and many kernel functions; we find that the estimator is
remarkably robust across a wide range of smoothing choices, but the effect of outliers may be
less obvious than expected