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Wen-Jen Tsay

Personal Details

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

Affiliation

Institute of Economics
Academia Sinica

Taipei, Taiwan
http://www.econ.sinica.edu.tw/
RePEc:edi:sinictw (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Chu-An Liu & Biing-Shen Kuo & Wen-Jen Tsay, 2017. "Autoregressive Spectral Averaging Estimator," IEAS Working Paper : academic research 17-A013, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  2. Christine Amsler & Peter Schmidt & Wen-Jen Tsay, 2013. "A Post-Truncation Parameterization of Truncated Normal Technical Inefficiency," IEAS Working Paper : academic research 13-A002, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  3. 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.
  4. 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 Mar 2013.
  5. 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.
  6. 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.
  7. Yu-chin Chen & Kwok Ping Tsang & Wen Jen Tsay, 2010. "Home Bias in Currency Forecasts," Working Papers 272010, Hong Kong Institute for Monetary Research.
  8. 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.
  9. 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.
  10.  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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  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.
  17. 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.
  18. 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.

Articles

  1. Wen-Jen Tsay & Wei-Min Hu, 2022. "Merger simulation based on survey–generated diversion ratios," European Competition Journal, Taylor & Francis Journals, vol. 18(2), pages 249-264, May.
  2. C. Y. Cyrus Chu & S. Y. Lin & Wen‐Jen Tsay, 2021. "Estimating the Willingness to Pay for Voting when Absentee Voting is not Allowed," Social Science Quarterly, Southwestern Social Science Association, vol. 102(4), pages 1380-1393, July.
  3. Shih-Tang Hwu & Tsu-Tan Fu & Wen-Jen Tsay, 2021. "Estimation and efficiency evaluation of stochastic frontier models with interval dependent variables," Journal of Productivity Analysis, Springer, vol. 56(1), pages 33-44, August.
  4. Tsay, Wen-Jen, 2021. "Estimating cartel damages with model averaging approaches," International Review of Law and Economics, Elsevier, vol. 68(C).
  5. Liao, Jen-Che & Tsay, Wen-Jen, 2020. "Optimal Multistep Var Forecast Averaging," Econometric Theory, Cambridge University Press, vol. 36(6), pages 1099-1126, December.
  6. C. Y. Cyrus Chu & Jou-Chun Lin & Wen-Jen Tsay, 2020. "Males’ housing wealth and their marriage market advantage," Journal of Population Economics, Springer;European Society for Population Economics, vol. 33(3), pages 1005-1023, July.
  7. Christine Amsler & Peter Schmidt & Wen-Jen Tsay, 2019. "Evaluating the CDF of the distribution of the stochastic frontier composed error," Journal of Productivity Analysis, Springer, vol. 52(1), pages 29-35, December.
  8. T.-F. Lo & P.-H. Ke & W.-J. Tsay, 2018. "Pairwise likelihood inference for the random effects probit model," Computational Statistics, Springer, vol. 33(2), pages 837-861, June.
  9. Hung-Pin Lai & Wen-Jen Tsay, 2018. "Maximum simulated likelihood estimation of the panel sample selection model," Econometric Reviews, Taylor & Francis Journals, vol. 37(7), pages 744-759, August.
  10. Christine Amsler & Peter Schmidt & Wen-Jen Tsay, 2015. "A post-truncation parameterization of truncated normal technical inefficiency," Journal of Productivity Analysis, Springer, vol. 44(2), pages 209-220, October.
  11. C. Chu & Seik Kim & Wen-Jen Tsay, 2014. "Coresidence With Husband’s Parents, Labor Supply, and Duration to First Birth," Demography, Springer;Population Association of America (PAA), vol. 51(1), pages 185-204, February.
  12. 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.
  13. Chao‐Chun Chen & Wen‐Jen Tsay, 2011. "A Markov regime‐switching ARMA approach for hedging stock indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(2), pages 165-191, February.
  14. 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.
  15. Wen-Jen Tsay, 2006. "The educational attainment of second-generation mainland Chinese immigrants in Taiwan," Journal of Population Economics, Springer;European Society for Population Economics, vol. 19(4), pages 749-767, October.
  16. 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.
  17. Wen-Jen Tsay & C. Y. Cyrus Chu, 2005. "The pattern of birth spacing during Taiwan's demographic transition," Journal of Population Economics, Springer;European Society for Population Economics, vol. 18(2), pages 323-336, June.
  18. 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.
  19. 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.
  20. Tsay, Wen-Jen, 2000. "Long memory story of the real interest rate," Economics Letters, Elsevier, vol. 67(3), pages 325-330, June.
  21. Tsay, Wen-Jen, 2000. "Estimating Trending Variables In The Presence Of Fractionally Integrated Errors," Econometric Theory, Cambridge University Press, vol. 16(3), pages 324-346, June.
  22. Tsay, Wen-Jen, 1999. "Spurious Regression Between I(1) Processes With Infinite Variance Errors," Econometric Theory, Cambridge University Press, vol. 15(4), pages 622-628, August.
  23. 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.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (9) 2007-04-28 2009-12-19 2009-12-19 2009-12-19 2010-02-13 2011-01-03 2011-03-19 2012-12-06 2017-10-08. Author is listed
  2. NEP-ETS: Econometric Time Series (3) 2007-04-28 2009-12-19 2017-10-08
  3. NEP-DEM: Demographic Economics (2) 2011-08-15 2012-08-23
  4. NEP-EFF: Efficiency and Productivity (2) 2009-12-19 2011-01-03
  5. NEP-FOR: Forecasting (2) 2010-11-13 2011-03-19
  6. NEP-LAB: Labour Economics (2) 2011-08-15 2012-08-23
  7. NEP-AGR: Agricultural Economics (1) 2011-03-19
  8. NEP-DCM: Discrete Choice Models (1) 2010-02-13
  9. NEP-IFN: International Finance (1) 2010-11-13
  10. NEP-MON: Monetary Economics (1) 2010-11-13
  11. NEP-MST: Market Microstructure (1) 2011-03-19

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