Bernhard van der Sluis

Publications

3. PyTimeVar: A Python ackage for trending time-varying time series models, with Mingxuan Song, and Yicong Lin.

Journal of Statistical Software, Forthcoming

2. Modelling time-varying relations in housing prices: A semiparametric panel approach, with Yicong Lin, Marina Friedrich, Pavitram Ramdaras, and Sean Telg.

Journal of the Royal Statistical Society: Series C: Applied Statistics (Open Access), 2025

1. Bootstrap inference for linear time-varying coefficient models in locally stationary time series, with Yicong Lin, and Mingxuan Song.

Journal of Computational and Graphical Statistics (Open Access), 2024

Working Papers

7. Markov regime-switching panel models with grouped heterogeneity, with Richard Paap and Wendun Wang.

October 2026 | Upon request

6. Identification, estimation, and robust inference of structural autoregressions for multidimensional data (Job Market Paper)

October 2026 | Working Paper

5. Multiscale comparison of nonparametric trending coefficients, with Marina Khismatullina

November 2025 | Working Paper

4. Bootstrapping trending time-varying coefficient panel models with missing observations, with Yicong Lin and Marina Friedrich.

Work in progress

Group factors in single stock options, with Maria Grith, Marina Khismatullina, and Wendun Wang
Gradient-boosted panel MIDAS trees, with Lucas Veraart and Anastasija Tetereva