EconPapers    
Economics at your fingertips  
 

Details about Wen-Jen Tsay

E-mail:
Workplace:Institute of Economics, Academia Sinica, (more information at EDIRC)

Access statistics for papers by Wen-Jen Tsay.

Last updated 2021-01-10. Update your information in the RePEc Author Service.

Short-id: pts37


Jump to Journal Articles

Working Papers

2017

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

2013

  1. Coresidence with Husband's Parents, Labor Supply, and Duration to First Birth
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (2012) Downloads

    See also Journal Article in Demography (2014)

2012

  1. 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 Downloads
  2. Maximum Likelihood Estimation of the Panel Sample Selection Model
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads View citations (2)

2011

  1. 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 Downloads
  2. 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 Downloads View citations (10)
    Also in Working Papers, University of Washington, Department of Economics Downloads

2010

  1. A Computationally Efficient Analytic Procedure for the Random Effects Probit Model
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads
  2. Home Bias in Currency Forecasts
    Working Papers, Hong Kong Institute for Monetary Research Downloads
    Also in Working Papers, Virginia Polytechnic Institute and State University, Department of Economics (2010) Downloads

2009

  1. 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 Downloads View citations (2)
  2. Monitoring Structural Changes in Regression with Long Memory Processes
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads

2008

  1. The GMM Estimation with Long Difference and Multiple Difference Operators
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads
  2. 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 Downloads

2007

  1. A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (10)
  2. Estimating Long Memory Time-Series-Cross-Section Data
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads View citations (1)
  3. Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads
  4. Maximum Likelihood Estimation of Stationary Multivariate ARFIMA Processes
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads View citations (5)
  5. The Fertility of Second-Generation Political Immigrants in Taiwan
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads

Journal Articles

2020

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

2019

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

2018

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

2015

  1. A post-truncation parameterization of truncated normal technical inefficiency
    Journal of Productivity Analysis, 2015, 44, (2), 209-220 Downloads View citations (4)

2014

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

2013

  1. 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 Downloads View citations (13)

2011

  1. A Markov regime‐switching ARMA approach for hedging stock indices
    Journal of Futures Markets, 2011, 31, (2), 165-191 Downloads View citations (4)

2007

  1. Using Difference‐Based Methods for Inference in Regression with Fractionally Integrated Processes
    Journal of Time Series Analysis, 2007, 28, (6), 827-843 Downloads View citations (1)

2006

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

2005

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

2004

  1. Testing for contemporaneous correlation of disturbances in seemingly unrelated regressions with serial dependence
    Economics Letters, 2004, 83, (1), 69-76 Downloads View citations (4)

2000

  1. ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS
    Econometric Theory, 2000, 16, (3), 324-346 Downloads View citations (3)
  2. Long memory story of the real interest rate
    Economics Letters, 2000, 67, (3), 325-330 Downloads View citations (52)
  3. The spurious regression of fractionally integrated processes
    Journal of Econometrics, 2000, 96, (1), 155-182 Downloads View citations (62)

1999

  1. SPURIOUS REGRESSION BETWEEN I(1) PROCESSES WITH INFINITE VARIANCE ERRORS
    Econometric Theory, 1999, 15, (4), 622-628 Downloads View citations (2)

1998

  1. On the power of durbin-watson statistic against fractionally integrated processes
    Econometric Reviews, 1998, 17, (4), 361-386 Downloads View citations (3)
 
Page updated 2021-03-03