Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, 239(1):1--29.
Yicong Lin
University
Vrije Universiteit Amsterdam
E-mail
Research field
Econometrics
Interests
Econometric Methodology, Econometric Theory, Econometrics, Panel Data, Time Series Econometrics
Website
Biography
Yicong Lin is an Assistant Professor at the Department of Econometrics and Data Science at Vrije Universiteit Amsterdam. He obtained his Ph.D. degree from Maastricht University. He focuses on time series models with nonlinearity, nonstationarity, and endogeneity. His recent research interests include resampling methods in nonparametric statistics, functional time series, extreme value theory, information theory, and climate econometrics. His recent publications have appeared in journals such as Journal of Econometrics, Journal of Computational and Graphical Statistics, Econometric Reviews, Oxford Bulletin of Economics and Statistics, and Journal of Time Series Analysis.
Key publications
List of publications
Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, 239(1):1--29.
Beutner, E., Lin, Y. and Smeekes, S. (2023). GLS estimation and confidence sets for the date of a single break in models with trends Econometric Reviews, 42(2):195--219.