Publications

1. Eric Beutner, Yicong Lin, and Stephan Smeekes (2023). GLS estimation and confidence sets for the date of a single break in models with trends. Econometric Reviews 42(2), 195-219, DOI: 10.1080/07474938.2023.2178088. [Open Access]
   • accepted manuscript, supplementary appendix
2. Marina Friedrich and Yicong Lin (2022). Sieve bootstrap inference for linear time-varying coefficient models. Journal of Econometrics. In press. [Open Access]
   • accepted manuscript, supplementary appendix
   • MATLAB code & EU ETS data

Working papers

1. Eric Beutner, Yicong Lin, and Andre Lucas. Consistency, distributional convergence, and optimality of score-driven filters.
   • TI discussion paper
2. Yicong Lin and Mingxuan Song. Bootstrap inference for time-varying coefficient models in nonstationary time series. [Submitted]
   • updated manuscript, TI discussion paper
   • Python code, consumption data
   • previous title: Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence.
3. Marina Friedrich, Yicong Lin, Pavitram Ramdaras, Sean Telg, and Bernhard van der Sluis. Time-varying effects of housing attributes and economic environment on housing prices. [Submitted]
   • TI discussion paper
   • Python code & macroeconomic data; Github (maintainer: Pavitram Ramdaras)
4. Yicong Lin and Hanno Reuvers. Cointegrating polynomial regressions with power law trends: environmental Kuznets curve or omitted time effects? [Submitted]
   • updated manuscript, supplementary appendix, TI discussion paper
5. Yicong Lin and Hanno Reuvers. Fully modified estimation in cointegrating polynomial regressions: Extensions and Monte Carlo comparison.
   • updated manuscript, supplementary appendix, TI discussion paper
   • previous title: Efficient estimation by fully modified GLS with an application to the environmental Kuznets curve.