Details about Yicong Lin

Access statistics for papers by Yicong Lin.

Last updated 2026-06-10. Update your information in the RePEc Author Service.

Short-id: pli1477

Working Papers

2026

1. Estimation and inference for the persistence of extremely high temperatures
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2025

2. Clustering Extreme Value Indices in Large Panels
   Tinbergen Institute Discussion Papers, Tinbergen Institute
3. Functional Location-Scale Models with Robust Observation-Driven Dynamics
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
4. Improving Score-Driven Density Forecasts with an Application to Implied Volatility Surface Dynamics
   Tinbergen Institute Discussion Papers, Tinbergen Institute
5. Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers
   Tinbergen Institute Discussion Papers, Tinbergen Institute
6. Testing for the Absence of Score-Driven Parameter Dynamics
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2024

7. PyTimeVar: A Python Package for Trending Time-Varying Time Series Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2023

8. Consistency, distributional convergence, and optimality of score-driven filters
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
9. Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2022

10. Cointegrating Polynomial Regressions With Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Papers, arXiv.org (2021)
11. Fully Modified Estimation in Cointegrating Polynomial Regressions: Extensions and Monte Carlo Comparison
    Tinbergen Institute Discussion Papers, Tinbergen Institute

2021

12. Time-varying effects of housing attributes and economic environment on housing prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute

2020

13. Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve
    Papers, arXiv.org View citations (1)

Journal Articles

2026

1. Cointegrating Polynomial Regressions With Power Law Trends
   Journal of Time Series Analysis, 2026, 47, (2), 331-344
2. Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models
   Journal of Econometrics, 2026, 255, (C)
3. Fully Modified GLS Estimation for Seemingly Unrelated Cointegrating Polynomial Regressions
   Oxford Bulletin of Economics and Statistics, 2026, 88, (3), 473-483
4. Identifying trend reversals in atmospheric ethane from a multi-site analysis
   Climatic Change, 2026, 179, (4), 1-33

2024

5. Sieve bootstrap inference for linear time-varying coefficient models
   Journal of Econometrics, 2024, 239, (1) View citations (3)

2023

6. GLS estimation and confidence sets for the date of a single break in models with trends
   Econometric Reviews, 2023, 42, (2), 195-219 View citations (4)