Research

Peer-reviewed publications

  1. Yicong Lin and Hanno Reuvers (2024). Cointegrating polynomial regressions with power law trends. Journal of Time Series Analysis. [Forthcoming]
  2. Yicong Lin, Mingxuan Song, and Bernhard van der Sluis (2024). Bootstrap inference for linear time-varying coefficient models in locally stationary time series. Journal of Computational and Graphical Statistics. [Open Access]
  3. Wenzhe Yin, Shujian Yu, Yicong Lin, Jie Liu, Jan-Jakob Sonke, and Stratis Gavves (2024). Domain adaptation with Cauchy-Schwarz divergence. Proceedings of the Fortieth Conference on Uncertainty in Artificial Intelligence (UAI), PMLR 244:4011-4040.  [Open Access]
  4. Marina Friedrich and Yicong Lin (2024). Sieve bootstrap inference for linear time-varying coefficient models. Journal of Econometrics 239(1), 105345. [Open Access]
  5. 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. [Open Access]

Working papers

  1. Mingxuan Song, Bernhard van der Sluis, and Yicong Lin. PyTimeVar: A Python package for trending time-varying time series models. [Submitted]
  2. Eric Beutner, Yicong Lin, and Andre Lucas. Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models. [Submitted]
    • previous title: Consistency, distributional convergence, and optimality of score-driven filters.
    • TI discussion paper
  3. Yicong Lin, Bernhard van der Sluis, and Marina Friedrich. Bootstrapping trending time-varying coefficient panel models with missing observations. [Submitted]
  4. Marina Friedrich, Yicong Lin, Pavitram Ramdaras, Sean Telg, and Bernhard van der Sluis. Modelling time-varying relations in housing prices: A semiparametric panel approach. [Revision requested]
  5. Yicong Lin and Hanno Reuvers. Fully modified estimation in cointegrating polynomial regressions: Extensions and Monte Carlo comparison. [Revision requested]