Research

Peer-reviewed publications

  1. 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. [Open Access]
  2. Yicong Lin and Hanno Reuvers (2024). Cointegrating polynomial regressions with power law trends. Journal of Time Series Analysis. [Open Access]
  3. 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]
  4. 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]
  5. Marina Friedrich and Yicong Lin (2024). Sieve bootstrap inference for linear time-varying coefficient models. Journal of Econometrics 239(1), 105345. [Open Access]
  6. 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. Marina Friedrich, Siem Jan Koopman, Yicong Lin, Mahieu Emmanuel, Stephan Smeekes, et al. Identifying trend reversals in atmospheric ethane from a multi-site analysis.
  2. Chenhui Wang, Juan Juan Cai, Yicong Lin and Julia Schaumburg. Clustering extreme value indices in large panels.
    • TI discussion paper
  3. Yicong Lin and Andre Lucas. Functional location-scale models with robust bservation-driven dynamics.
  4. Mingxuan Song, Bernhard van der Sluis, and Yicong Lin. PyTimeVar: A Python package for trending time-varying time series models. [Revision requested]
  5. 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
  6. Yicong Lin, Bernhard van der Sluis, and Marina Friedrich. Bootstrapping trending time-varying coefficient panel models with missing observations.
  7. Yicong Lin and Hanno Reuvers. Fully modified GLS estimation for seemingly unrelated cointegrating polynomial regressions. [R&R]