Bernhard van der Sluis

Publications

Mingxuan Song, Bernhard van der Sluis, and Yicong Lin (202x). PyTimeVar: A Python package for trending time-varying time series models. Journal of Statistical Software (Accepted)
Yicong Lin, Marina Friedrich, 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)
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)

Working Papers

Bootstrapping trending time-varying coefficient panel models with missing observations, with Yicong Lin and Marina Friedrich.
Multiscale comparison of nonparametric trending coefficients, with Marina Khismatullina

Work in progress

Markov regime-switching panel models with grouped heterogeneity, with Richard Paap and Wendun Wang
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
Structural autoregressions for multi-dimensional data