Yicong Lin

Yicong Lin
Vrije Universiteit Amsterdam | VU · Department of Econometrics and Data Science

PhD

About

7
Publications
482
Reads
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0
Citations
Citations since 2017
7 Research Items
0 Citations
20172018201920202021202220230.00.51.01.52.0
20172018201920202021202220230.00.51.01.52.0
20172018201920202021202220230.00.51.01.52.0
20172018201920202021202220230.00.51.01.52.0
Additional affiliations
August 2020 - May 2022
Vrije Universiteit Amsterdam
Position
  • Researcher
Education
September 2016 - June 2020
Maastricht University
Field of study
  • Econometrics
September 2014 - August 2016
Maastricht University
Field of study
  • Econometrics
September 2009 - June 2013
Shenzhen University
Field of study
  • Mathematics; Economics

Publications

Publications (7)
Article
We propose a sieve bootstrap framework to conduct pointwise and simultaneous inference for time-varying coefficient regression models based on a local linear estimator. The asymptotic validity of the sieve bootstrap in the presence of autocorrelation is established. The bootstrap automatically produces a consistent estimate of nuisance parameters,...
Preprint
Full-text available
We develop a Feasible Generalized Least Squares estimator of the date of a structural break in level and/or trend. The estimator is based on a consistent estimation of a T-dimensional inverse autoco-variance matrix. A cubic polynomial transformation of break date estimates can be approximated by a nonstandard yet nuisance parameter free distributio...
Preprint
Full-text available
We propose a sieve bootstrap framework to conduct pointwise and simultaneous inference for time-varying coefficient regression models based on a nonparametric local linear estimator. The asymptotic validity of the sieve bootstrap in the presence of autocorrelation is established. We find that it automatically produces a consistent estimation of nui...
Preprint
Full-text available
The environmental Kuznets curve predicts an inverted U-shaped relationship between environmental pollution and economic growth. Current analyses frequently employ models which restrict nonlinearities in the data to be explained by the economic growth variable only. We propose a Generalized Cointegrating Polynomial Regression (GCPR) to allow for an...
Preprint
Full-text available
This paper develops the asymptotic theory of a Fully Modified Generalized Least Squares estimator for multivariate cointegrating polynomial regressions. Such regressions allow for deterministic trends, stochastic trends and integer powers of stochastic trends to enter the coin-tegrating relations. Our fully modified estimator incorporates: (1) the...
Preprint
Full-text available
This paper develops the asymptotic theory of a Fully Modified Generalized Least Squares (FMGLS) estimator for multivariate cointegrating polynomial regressions. Such regressions allow for deterministic trends, stochastic trends and integer powers of stochastic trends to enter the cointegrating relations. Our fully modified estimator incorporates: (...
Preprint
This paper develops the asymptotic theory of a Fully Modified Generalized Least Squares (FMGLS) estimator for multivariate cointegrating polynomial regressions. Such regressions allow for deterministic trends, stochastic trends and integer powers of stochastic trends to enter the cointegrating relations. Our fully modified estimator incorporates: (...

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Projects

Projects (3)
Project
Develop inference methods in time-varying models with stationary and/or nonstationary regressors.
Project
Develop tools for break date estimation and inference.