Publications

  1. Yicong Lin, Andre Lucas, and Shiqi Ye (2026). Matrix-valued spatial autoregressions with dynamic heterogeneous spillovers. Journal of Econometrics.
  2. Juan Juan Cai, Yicong Lin, Julia Schaumburg and Chenhui Wang (202x). Estimation and inference for the persistence of extremely high temperatures. Econometrics Journal. [Open Access]
  3. Mingxuan Song, Bernhard van der Sluis, and Yicong Lin (202x). PyTimeVar: A Python package for trending time-varying time series models. Journal of Statistical Software. [Forthcoming]
  4. Marina Friedrich, Siem Jan Koopman, Yicong Lin, Mahieu Emmanuel, Stephan Smeekes, et al. (2026). Identifying trend reversals in atmospheric ethane from a multi-site analysis. Climatic Change. [Open Access]
  5. Eric Beutner, Yicong Lin, and Andre Lucas (2026). Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models. Journal of Econometrics. [Open Access]
  6. Yicong Lin and Hanno Reuvers (2026). Fully modified GLS estimation for seemingly unrelated cointegrating polynomial regressions. Oxford Bulletin of Economics and Statistics. [Open Access]
  7. Yicong Lin and Hanno Reuvers (2026). Cointegrating polynomial regressions with power law trends. Journal of Time Series Analysis 47, 331-344. [Open Access]
  8. Yicong Lin, Mingxuan Song, and Bernhard van der Sluis (2025). Bootstrap inference for linear time-varying coefficient models in locally stationary time series. Journal of Computational and Graphical Statistics 34(2), 654-667. [Open Access]
  9. Marina Friedrich, Yicong Lin, Pavitram Ramdaras, Sean Telg, and Bernhard van der Sluis (2025). Modelling time-varying relations in housing prices: A semiparametric panel approach. Journal of the Royal Statistical Society Series C: Applied Statistics 74, 1217–1238. [Open Access]
  10. 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]
  11. Marina Friedrich and Yicong Lin (2024). Sieve bootstrap inference for linear time-varying coefficient models. Journal of Econometrics 239(1), 105345. [Open Access]
  12. 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]