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Wen-Jen Tsay

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This is information that was supplied by Wen-Jen Tsay in registering through RePEc. If you are Wen-Jen Tsay , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Wen-Jen
Middle Name:
Last Name: Tsay
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RePEc Short-ID: pts37

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Affiliation

Institute of Economics
Academia Sinica
Location: Taipei, Taiwan
Homepage: http://www.sinica.edu.tw/econ/
Email:
Phone: 886-2-27822791
Fax: 886-2-27853946
Postal:
Handle: RePEc:edi:sinictw (more details at EDIRC)

Works

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Working papers

  1. Hung-pin Lai & Wen-Jen Tsay, 2012. "Maximum Likelihood Estimation of the Panel Sample Selection Model," IEAS Working Paper : academic research 12-A006, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised Oct 2012.
  2. Yu-chin Chen & Wen-Jen Tsay, 2011. "Forecasting Commodity Prices with Mixed-Frequency Data: An OLS-Based Generalized ADL Approach," IEAS Working Paper : academic research 11-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised May 2011.
  3. C. Y. Cyrus Chu & Seik Kim & Wen-Jen Tsay, 2011. "Coresidence with Husband's Parents, Labor Supply, and Duration to First Birth," IEAS Working Paper : academic research 11-A005, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised Jul 2012.
  4. Peng-Hsuan Ke & Wen-Jen Tsay, 2010. "A Simple Analytic Approximation Approach for Estimating the True Random Effects and True Fixed Effects Stochastic Frontier Models," IEAS Working Paper : academic research 10-A007, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised Jan 2012.
  5. Peng-Hsuan Ke & Wen-Jen Tsay, 2010. "A Computationally Efficient Analytic Procedure for the Random Effects Probit Model," IEAS Working Paper : academic research 10-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  6. Yu-chin Chen & Kwok Ping Tsang & Wen Jen Tsay, 2010. "Home Bias in Currency Forecasts," Working Papers 272010, Hong Kong Institute for Monetary Research.
  7. Wen-Jen Tsay & Peng-Hsuan Ke, 2009. "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 09-A011, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised Nov 2011.
  8.  Wen-Jen Tsay, 2009. "Monitoring Structural Changes in Regression with Long Memory Processes," IEAS Working Paper : academic research 09-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  9. Wen-Jen Tsay & Cliff J. Huang & Tsu-Tan Fu & I-Lin Ho, 2009. "Maximum Likelihood Estimation of Censored Stochastic Frontier Models: An Application to the Three-Stage DEA Method," IEAS Working Paper : academic research 09-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  10. Wen-Jen Tsay, 2008. "The Long Memory Autoregressive Distributed Lag Model and Its Application on Congressional Approval," IEAS Working Paper : academic research 08-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  11. Biing-Shen Kuo & Wen-Jen Tsay, 2008. "The GMM Estimation with Long Difference and Multiple Difference Operators," IEAS Working Paper : academic research 08-A002, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  12. Wen-Jen Tsay, 2007. "The Fertility of Second-Generation Political Immigrants in Taiwan," IEAS Working Paper : academic research 07-A004, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  13. Wen-Jen Tsay & Wolfgang Härdle, 2007. "A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter," SFB 649 Discussion Papers SFB649DP2007-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  14. Wen-Jen Tsay, 2007. "Maximum Likelihood Estimation of Stationary Multivariate ARFIMA Processes," IEAS Working Paper : academic research 07-A011, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  15. Wen-Jen Tsay, 2007. "Estimating Long Memory Time-Series-Cross-Section Data," IEAS Working Paper : academic research 07-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  16. Chao-Chun Chen & Wen-Jen Tsay, 2007. "Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton," IEAS Working Paper : academic research 07-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.

Articles

  1. Wen-Jen Tsay & Cliff Huang & Tsu-Tan Fu & I.-Lin Ho, 2013. "A simple closed-form approximation for the cumulative distribution function of the composite error of stochastic frontier models," Journal of Productivity Analysis, Springer, vol. 39(3), pages 259-269, June.
  2. Wen-Jen Tsay, 2007. "Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 827-843, November.
  3. Chen, Chao-Chun & Tsay, Wen-Jen, 2006. "The Beveridge-Nelson decomposition of Markov-switching processes," Economics Letters, Elsevier, vol. 91(1), pages 83-89, April.
  4. Wen-Jen Tsay, 2006. "The educational attainment of second-generation mainland Chinese immigrants in Taiwan," Journal of Population Economics, Springer, vol. 19(4), pages 749-767, October.
  5. Wen-Jen Tsay & C. Y. Cyrus Chu, 2005. "The pattern of birth spacing during Taiwan's demographic transition," Journal of Population Economics, Springer, vol. 18(2), pages 323-336, 06.
  6. Tsay, Wen-Jen, 2004. "Testing for contemporaneous correlation of disturbances in seemingly unrelated regressions with serial dependence," Economics Letters, Elsevier, vol. 83(1), pages 69-76, April.
  7. Tsay, Wen-Jen & Chung, Ching-Fan, 2000. "The spurious regression of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 155-182, May.
  8. Tsay, Wen-Jen, 2000. "Estimating Trending Variables In The Presence Of Fractionally Integrated Errors," Econometric Theory, Cambridge University Press, vol. 16(03), pages 324-346, June.
  9. Tsay, Wen-Jen, 2000. "Long memory story of the real interest rate," Economics Letters, Elsevier, vol. 67(3), pages 325-330, June.
  10. Tsay, Wen-Jen, 1999. "Spurious Regression Between I(1) Processes With Infinite Variance Errors," Econometric Theory, Cambridge University Press, vol. 15(04), pages 622-628, August.
  11. W. Tsay, 1998. "On the power of durbin-watson statistic against fractionally integrated processes," Econometric Reviews, Taylor & Francis Journals, vol. 17(4), pages 361-386.

NEP Fields

12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGR: Agricultural Economics (1) 2011-03-19
  2. NEP-DCM: Discrete Choice Models (1) 2010-02-13
  3. NEP-DEM: Demographic Economics (2) 2011-08-15 2012-08-23
  4. NEP-ECM: Econometrics (8) 2007-04-28 2009-12-19 2009-12-19 2009-12-19 2010-02-13 2011-01-03 2011-03-19 2012-12-06. Author is listed
  5. NEP-EFF: Efficiency & Productivity (2) 2009-12-19 2011-01-03
  6. NEP-ETS: Econometric Time Series (2) 2007-04-28 2009-12-19
  7. NEP-FOR: Forecasting (3) 2010-09-11 2010-11-13 2011-03-19. Author is listed
  8. NEP-IFN: International Finance (2) 2010-09-11 2010-11-13
  9. NEP-LAB: Labour Economics (2) 2011-08-15 2012-08-23
  10. NEP-MON: Monetary Economics (2) 2010-09-11 2010-11-13
  11. NEP-MST: Market Microstructure (1) 2011-03-19

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