Details about Chung-Ming Kuan

Access statistics for papers by Chung-Ming Kuan.

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Short-id: pku58

Working Papers

2014

1. Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan View citations (1)
   Also in IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan (2006)
   See also Journal Article Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix, Journal of Econometrics, Elsevier (2014) (2014)

2007

2. Causality in Quantiles and Dynamic Stock Return-Volume Relations
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan View citations (2)
   See also Journal Article Causality in quantiles and dynamic stock return-volume relations, Journal of Banking & Finance, Elsevier (2009) View citations (170) (2009)

2006

3. Artificial Neural Networks
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan View citations (45)
4. Change-Point Estimation of Nonstationary I(d) Processes
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan
   See also Journal Article Change-point estimation of nonstationary I(d) processes, Economics Letters, Elsevier (2008) View citations (7) (2008)
5. Improved HAC Covariance Matrix Estimation Based on Forecast Errors
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan
   See also Journal Article Improved HAC covariance matrix estimation based on forecast errors, Economics Letters, Elsevier (2008) View citations (2) (2008)

2004

6. A component-driven model for regime switching and its empirical evidence
   Econometric Society 2004 Far Eastern Meetings, Econometric Society
   Also in IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan (2003)
7. Re-Examining the Profitability of Technical Analysis with White’s Reality Check
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan View citations (2)

2003

8. A Generalized Jarque-Bera Test of Conditional Normality
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan View citations (3)
9. A New Test of the Martingale Difference Hypothesis
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan View citations (5)
   See also Journal Article A New Test of the Martingale Difference Hypothesis, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2004) View citations (17) (2004)

2000

10. The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
    See also Journal Article The pseudo-true score encompassing test for non-nested hypotheses, Journal of Econometrics, Elsevier (2002) View citations (6) (2002)

1999

11. The Nonlinear Intraday Pattern of Futures Market Exchange Rates: An Application of Neural Network Models
    Computing in Economics and Finance 1999, Society for Computational Economics

1993

12. Mosum Tests for Parameter Constancy
    Working Papers, Southern California - Department of Economics View citations (6)

1991

13. Strong Convergence of Recursive M-Estimators for Models with Dynamic Latent Variables
    Working Papers, Stanford - Institute for Thoretical Economics View citations (1)

Journal Articles

2017

1. Testing for central dominance: Method and application
   Journal of Econometrics, 2017, 196, (2), 368-378

2015

2. Robust hypothesis tests for M‐estimators with possibly non‐differentiable estimating functions
   Econometrics Journal, 2015, 18, (1), 95-116

2014

3. A Generalized Stepwise Procedure with Improved Power for Multiple Inequalities Testing
   Journal of Financial Econometrics, 2014, 12, (4), 730-755 View citations (11)
4. A noise-robust estimator of volatility based on interquantile ranges
   Review of Quantitative Finance and Accounting, 2014, 43, (4), 751-779 View citations (2)
5. Constructing smooth tests without estimating the eigenpairs of the limiting process
   Journal of Econometrics, 2014, 178, (P1), 71-79 View citations (1)
6. Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
   Journal of Econometrics, 2014, 181, (2), 181-193
   See also Working Paper Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix, IEAS Working Paper : academic research (2014) View citations (1) (2014)

2013

7. Effects of National Health Insurance on precautionary saving: new evidence from Taiwan
   Empirical Economics, 2013, 44, (2), 921-943 View citations (10)
8. Markov switching model (in Russian)
   Quantile, 2013, (11), 13-40 View citations (1)
9. Testing the predictive power of the term structure without data snooping bias
   Economics Letters, 2013, 121, (3), 546-549 View citations (2)
10. “Capital mobility in East Asian Countries is not so high”: Examining the impact of sterilization on capital flows
    China Economic Review, 2013, 24, (C), 55-64 View citations (2)

2011

11. Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments
    Journal of Econometrics, 2011, 165, (1), 87-99 View citations (6)

2010

12. An encompassing test for non-nested quantile regression models
    Economics Letters, 2010, 107, (2), 257-260 View citations (1)
13. Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias
    Journal of Empirical Finance, 2010, 17, (3), 471-484 View citations (68)

2009

14. Assessing value at risk with CARE, the Conditional Autoregressive Expectile models
    Journal of Econometrics, 2009, 150, (2), 261-270 View citations (101)
15. Causality in quantiles and dynamic stock return-volume relations
    Journal of Banking & Finance, 2009, 33, (7), 1351-1360 View citations (170)
    See also Working Paper Causality in Quantiles and Dynamic Stock Return-Volume Relations, IEAS Working Paper : academic research (2007) View citations (2) (2007)
16. Guest editors' introduction
    Journal of Econometrics, 2009, 150, (2), 117-118

2008

17. Change-point estimation of nonstationary I(d) processes
    Economics Letters, 2008, 98, (2), 115-121 View citations (7)
    See also Working Paper Change-Point Estimation of Nonstationary I(d) Processes, IEAS Working Paper : academic research (2006) (2006)
18. Improved HAC covariance matrix estimation based on forecast errors
    Economics Letters, 2008, 99, (1), 89-92 View citations (2)
    See also Working Paper Improved HAC Covariance Matrix Estimation Based on Forecast Errors, IEAS Working Paper : academic research (2006) (2006)
19. Reexamining the permanent income hypothesis with uncertainty in permanent and transitory innovation states
    Journal of Macroeconomics, 2008, 30, (4), 1816-1836 View citations (4)

2007

20. Corrigendum to "The pseudo-true score encompassing test for non-nested hypotheses": [Journal of Econometrics 106, 271-295]
    Journal of Econometrics, 2007, 141, (2), 1412-1417 View citations (1)
21. Saving and housing of Taiwanese households: New evidence from quantile regression analyses
    Journal of Housing Economics, 2007, 16, (2), 102-126 View citations (13)

2006

22. Robust M Tests Without Consistent Estimation of the Asymptotic Covariance Matrix
    Journal of the American Statistical Association, 2006, 101, 1264-1275 View citations (11)

2005

23. An Unobserved-Component Model With Switching Permanent and Transitory Innovations
    Journal of Business & Economic Statistics, 2005, 23, 443-454 View citations (12)
24. Reexamining the Profitability of Technical Analysis with Data Snooping Checks
    Journal of Financial Econometrics, 2005, 3, (4), 606-628 View citations (71)

2004

25. A New Test of the Martingale Difference Hypothesis
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (4), 26 View citations (17)
    See also Working Paper A New Test of the Martingale Difference Hypothesis, IEAS Working Paper : academic research (2003) View citations (5) (2003)

2002

26. Response surfaces of MOSUM critical values
    Applied Economics Letters, 2002, 9, (2), 133-136
27. The pseudo-true score encompassing test for non-nested hypotheses
    Journal of Econometrics, 2002, 106, (2), 271-295 View citations (6)
    See also Working Paper The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis, Econometric Society World Congress 2000 Contributed Papers (2000) (2000)
28. Time irreversibility and EGARCH effects in US stock index returns
    Journal of Applied Econometrics, 2002, 17, (5), 565-578 View citations (17)

2001

29. Distinguishing between trend-break models: method and empirical evidence
    Econometrics Journal, 2001, 4, (2), 1 View citations (10)
30. Testing parameter constancy in models with infinite variance errors
    Economics Letters, 2001, 72, (1), 11-18

2000

31. MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
    Econometric Theory, 2000, 16, (6), 835-854 View citations (58)
32. Testing time reversibility without moment restrictions
    Journal of Econometrics, 2000, 95, (1), 199-218 View citations (45)

1999

33. A note on tests for partial parameter instability in the trend stationary model
    Economics Letters, 1999, 65, (3), 285-291

1998

34. Tests for changes in models with a polynomial trend
    Journal of Econometrics, 1998, 84, (1), 75-91 View citations (7)

1997

35. Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 435-48 View citations (127)

1996

36. Spurious number of breaks
    Economics Letters, 1996, 50, (2), 175-178 View citations (18)

1995

37. Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks
    Journal of Applied Econometrics, 1995, 10, (4), 347-64 View citations (128)
38. Spurious Break
    Econometric Theory, 1995, 11, (4), 736-749 View citations (41)
39. The Moving-Estimates Test for Parameter Stability
    Econometric Theory, 1995, 11, (4), 699-720 View citations (39)

1994

40. A range-CUSUM test with recursive residuals
    Economics Letters, 1994, 45, (3), 309-313
41. Adaptive Learning with Nonlinear Dynamics Driven by Dependent Processes
    Econometrica, 1994, 62, (5), 1087-1114 View citations (22)
42. Implementing the fluctuation and moving-estimates tests in dynamic econometric models
    Economics Letters, 1994, 44, (3), 235-239 View citations (11)

1989

43. Trends in unit energy consumption: The performance of end-use models
    Energy, 1989, 14, (12), 943-960