Working papers
- Yicong Lin, Mingxuan Song, and Bernhard van der Sluis. Bootstrap inference for linear time-varying coefficient models in locally stationary time series. [R&R]
- Python code and data (maintainer: Mingxuan Song, Bernhard van der Sluis)
- previous title: Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence
- Yicong Lin and Hanno Reuvers. Cointegrating polynomial regressions with power law trends [R&R]
- Yicong Lin, Bernhard van der Sluis, and Marina Friedrich. Bootstrapping trending time-varying coefficient panel models with missing observations. [Submitted]
- Eric Beutner, Yicong Lin, and Andre Lucas. Consistency, distributional convergence, and optimality of score-driven filters.
- Marina Friedrich, Yicong Lin, Pavitram Ramdaras, Sean Telg, and Bernhard van der Sluis. Modelling time-varying relations in housing prices: A semiparametric panel approach. [Submitted]
- Yicong Lin and Hanno Reuvers. Fully modified estimation in cointegrating polynomial regressions: Extensions and Monte Carlo comparison. [Revision requested]