Details about Wen-Jen Tsay

Access statistics for papers by Wen-Jen Tsay.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pts37

Working Papers

2017

1. Autoregressive Spectral Averaging Estimator
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan

2013

2. A Post-Truncation Parameterization of Truncated Normal Technical Inefficiency
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan View citations (1)
   See also Journal Article A post-truncation parameterization of truncated normal technical inefficiency, Journal of Productivity Analysis, Springer (2015) View citations (4) (2015)
3. Coresidence with Husband's Parents, Labor Supply, and Duration to First Birth
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan View citations (1)
   Also in Working Papers, University of Washington, Department of Economics (2012)
   See also Journal Article Coresidence With Husband’s Parents, Labor Supply, and Duration to First Birth, Demography, Springer (2014) View citations (9) (2014)

2012

4. A Simple Analytic Approximation Approach for Estimating the True Random Effects and True Fixed Effects Stochastic Frontier Models
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan
5. Maximum Likelihood Estimation of the Panel Sample Selection Model
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan View citations (2)

2011

6. A Simple Approximation for Bivariate Normal Integral Based on Error Function and its Application on Probit Model with Binary Endogenous Regressor
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan
7. Forecasting Commodity Prices with Mixed-Frequency Data: An OLS-Based Generalized ADL Approach
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan View citations (10)
   Also in Working Papers, University of Washington, Department of Economics View citations (9)

2010

8. A Computationally Efficient Analytic Procedure for the Random Effects Probit Model
   IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan
9. Home Bias in Currency Forecasts
   Working Papers, Hong Kong Institute for Monetary Research

2009

10. Maximum Likelihood Estimation of Censored Stochastic Frontier Models: An Application to the Three-Stage DEA Method
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan View citations (2)
11. Monitoring Structural Changes in Regression with Long Memory Processes
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan

2008

12. The GMM Estimation with Long Difference and Multiple Difference Operators
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan
13. The Long Memory Autoregressive Distributed Lag Model and Its Application on Congressional Approval
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan

2007

14. A generalized ARFIMA process with Markov-switching fractional differencing parameter
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
15. Estimating Long Memory Time-Series-Cross-Section Data
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan View citations (1)
16. Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan
17. Maximum Likelihood Estimation of Stationary Multivariate ARFIMA Processes
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan View citations (5)
18. The Fertility of Second-Generation Political Immigrants in Taiwan
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan

Journal Articles

2022

1. Merger simulation based on survey–generated diversion ratios
   European Competition Journal, 2022, 18, (2), 249-264

2021

2. Estimating cartel damages with model averaging approaches
   International Review of Law and Economics, 2021, 68, (C)
3. Estimating the Willingness to Pay for Voting when Absentee Voting is not Allowed
   Social Science Quarterly, 2021, 102, (4), 1380-1393
4. Estimation and efficiency evaluation of stochastic frontier models with interval dependent variables
   Journal of Productivity Analysis, 2021, 56, (1), 33-44

2020

5. Males’ housing wealth and their marriage market advantage
   Journal of Population Economics, 2020, 33, (3), 1005-1023 View citations (6)
6. OPTIMAL MULTISTEP VAR FORECAST AVERAGING
   Econometric Theory, 2020, 36, (6), 1099-1126 View citations (3)

2019

7. Evaluating the CDF of the distribution of the stochastic frontier composed error
   Journal of Productivity Analysis, 2019, 52, (1), 29-35 View citations (4)

2018

8. Maximum simulated likelihood estimation of the panel sample selection model
   Econometric Reviews, 2018, 37, (7), 744-759 View citations (1)
9. Pairwise likelihood inference for the random effects probit model
   Computational Statistics, 2018, 33, (2), 837-861

2015

10. A post-truncation parameterization of truncated normal technical inefficiency
    Journal of Productivity Analysis, 2015, 44, (2), 209-220 View citations (4)
    See also Working Paper A Post-Truncation Parameterization of Truncated Normal Technical Inefficiency, IEAS Working Paper : academic research (2013) View citations (1) (2013)

2014

11. Coresidence With Husband’s Parents, Labor Supply, and Duration to First Birth
    Demography, 2014, 51, (1), 185-204 View citations (9)
    See also Working Paper Coresidence with Husband's Parents, Labor Supply, and Duration to First Birth, IEAS Working Paper : academic research (2013) View citations (1) (2013)

2013

12. A simple closed-form approximation for the cumulative distribution function of the composite error of stochastic frontier models
    Journal of Productivity Analysis, 2013, 39, (3), 259-269 View citations (15)

2011

13. A Markov regime‐switching ARMA approach for hedging stock indices
    Journal of Futures Markets, 2011, 31, (2), 165-191 View citations (6)

2007

14. Using Difference‐Based Methods for Inference in Regression with Fractionally Integrated Processes
    Journal of Time Series Analysis, 2007, 28, (6), 827-843 View citations (2)

2006

15. The Beveridge-Nelson decomposition of Markov-switching processes
    Economics Letters, 2006, 91, (1), 83-89 View citations (5)
16. The educational attainment of second-generation mainland Chinese immigrants in Taiwan
    Journal of Population Economics, 2006, 19, (4), 749-767 View citations (5)

2005

17. The pattern of birth spacing during Taiwan's demographic transition
    Journal of Population Economics, 2005, 18, (2), 323-336 View citations (20)

2004

18. Testing for contemporaneous correlation of disturbances in seemingly unrelated regressions with serial dependence
    Economics Letters, 2004, 83, (1), 69-76 View citations (6)

2000

19. ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS
    Econometric Theory, 2000, 16, (3), 324-346 View citations (3)
20. Long memory story of the real interest rate
    Economics Letters, 2000, 67, (3), 325-330 View citations (57)
21. The spurious regression of fractionally integrated processes
    Journal of Econometrics, 2000, 96, (1), 155-182 View citations (72)

1999

22. SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS
    Econometric Theory, 1999, 15, (4), 622-628 View citations (3)

1998

23. On the power of durbin-watson statistic against fractionally integrated processes
    Econometric Reviews, 1998, 17, (4), 361-386 View citations (4)