Wen-Jen Tsay

Academia Sinica - Institute of Economics

Research Fellow

128 Academia Road, Section 2

Nankang

Taipei, 11529

Taiwan

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 47,903

SSRN RANKINGS

Top 47,903

in Total Papers Downloads

1,244

SSRN CITATIONS
Rank 70,301

SSRN RANKINGS

Top 70,301

in Total Papers Citations

2

CROSSREF CITATIONS

5

Scholarly Papers (18)

1.

Forecasting Commodity Prices with Mixed-Frequency Data: An OLS-Based Generalized ADL Approach

Number of pages: 35 Posted: 10 Mar 2011 Last Revised: 01 May 2011
Yu-Chin Chen and Wen-Jen Tsay
University of Washington - Department of Economics and Academia Sinica - Institute of Economics
Downloads 506 (72,891)
Citation 2

Abstract:

Loading...

Mixed Frequency Data, Autoregressive Distributed Lag, Commodity Prices, Forecasting

2.

Home Bias in Currency Forecasts

HKIMR Working Paper No.27/2010
Number of pages: 37 Posted: 29 Oct 2010
Yu-Chin Chen, Kwok Ping Tsang and Wen-Jen Tsay
University of Washington - Department of Economics, Virginia Polytechnic Institute & State University and Academia Sinica - Institute of Economics
Downloads 98 (343,774)

Abstract:

Loading...

Survey Data, Excess Currency Returns, Global Shock

3.

Multivariate Least Squares Forecasting Averaging by Vector Autoregressive Models

Number of pages: 47 Posted: 25 Aug 2016
Jen-Che Liao and Wen-Jen Tsay
Fu Jen Catholic University - Department of Economics and Academia Sinica - Institute of Economics
Downloads 76 (401,084)
Citation 4

Abstract:

Loading...

Asymptotic Optimality, Asymptotic Unbiasedness, Forecast Combination/Averaging, Mallows Criterion, Vector Autoregressions

4.

A Simple Analytic Approximation Approach for Estimating the True Random Effects and True Fixed Effects Stochastic Frontier Models

Number of pages: 38 Posted: 22 Dec 2010 Last Revised: 04 Jul 2011
Wen-Jen Tsay and Peng-Hsuan Ke
Academia Sinica - Institute of Economics and Academia Sinica - Institute of Economics
Downloads 66 (432,844)

Abstract:

Loading...

Random Effects, Panel Stochastic Frontier Model

5.

Optimal Multi-Step VAR Forecasting Averaging

Number of pages: 54 Posted: 19 Jul 2017
Jen-Che Liao and Wen-Jen Tsay
Fu Jen Catholic University - Department of Economics and Academia Sinica - Institute of Economics
Downloads 62 (446,730)

Abstract:

Loading...

Asymptotic optimality, Forecast combination/averaging, Iterative and direct multi-step forecasting, Vector autoregressions

6.

Estimating the Willingness to Pay for Voting When Absentee Voting Is Not Allowed

Number of pages: 33 Posted: 23 Feb 2017 Last Revised: 16 Aug 2017
C. Y. Cyrus Chu, Shih-Yang Lin and Wen-Jen Tsay
Academia Sinica - Institute of Economics, Institute of Economics, Academia Sinica and Academia Sinica - Institute of Economics
Downloads 62 (446,730)

Abstract:

Loading...

Rational voter theory; travel mode; structural model; turnout.

7.

Estimating Cartel Damages with Model Averaging Approaches

Number of pages: 20 Posted: 20 Jun 2019 Last Revised: 01 Jun 2021
Wen-Jen Tsay
Academia Sinica - Institute of Economics
Downloads 58 (461,388)

Abstract:

Loading...

Cartel; Antitrust; Damage estimation

8.

Monitoring Structural Stability of Dynamic Factor Models

Number of pages: 31 Posted: 23 Feb 2017 Last Revised: 05 Sep 2017
Yu-Chin Chen and Wen-Jen Tsay
University of Washington - Department of Economics and Academia Sinica - Institute of Economics
Downloads 58 (461,388)

Abstract:

Loading...

Structural stability, factor model, fluctuation monitoring

9.

Estimation and Efficiency Evaluation of Stochastic Frontier Models with Interval Dependent Variables

Number of pages: 33 Posted: 11 Oct 2016 Last Revised: 15 Mar 2021
Shih-Tang Hwu, Tsu-Tan Fu and Wen-Jen Tsay
University of Washington, Soochow University - Department of Economics and Academia Sinica - Institute of Economics
Downloads 52 (484,588)
Citation 1

Abstract:

Loading...

Stochastic frontier analysis, interval dependent variable, technical efficiency

10.

A Count Data Model with Dual Endogenous Binary Variables

Number of pages: 25 Posted: 07 Feb 2018 Last Revised: 02 Sep 2021
Institute of Economics, Academia Sinica, Institute of Economics, Academia Sinica, Academia Sinica - Institute of Economics and Academia Sinica - Institute of Economics
Downloads 49 (497,185)

Abstract:

Loading...

Endogenous binary variables; Quasi-maximum likelihood; Poisson regression; Two-stage estimation; Gravity model of international trade

11.

Estimating Disparity in Welfare Gains from Trade between Firm Owners and Workers

Number of pages: 32 Posted: 14 Feb 2017
Ching-mu Chen, Shin-Kun Peng and Wen-Jen Tsay
Institute of Economics, Academia Sinica, Academia Sinica and Academia Sinica - Institute of Economics
Downloads 40 (538,547)

Abstract:

Loading...

heterogeneous agents, disparity, welfare gains from trade, trade integration, globalization

12.

On Same-Realization Prediction in the Multivariate Long Memory Process with the VAR Procedure

Number of pages: 38 Posted: 06 May 2019
Wen-Jen Tsay, Cindy S.H. Wang and Cindy S.H. Wang
Academia Sinica - Institute of Economics and Catholic University of Louvain (UCL)National Tsing Hua University - College of Technology Management
Downloads 26 (617,235)

Abstract:

Loading...

multivariate long memory process; realized volatility; VAR approximation; VIX index; HAR-class models

13.

Autoregressive Spectral Averaging Estimator

Number of pages: 25 Posted: 21 Sep 2017
Chu-An Liu, Biing-Shen Kuo and Wen-Jen Tsay
Academia Sinica - Institute of Economics, Dept. International Business, National Chengchi University and Academia Sinica - Institute of Economics
Downloads 26 (617,235)

Abstract:

Loading...

Model averaging, Model selection, Spectral density estimator

14.

Merger Simulation based on Survey–Generated Diversion Ratios

Number of pages: 16 Posted: 30 Nov 2020 Last Revised: 27 Aug 2021
Wen-Jen Tsay and Wei‐Min Hu
Academia Sinica - Institute of Economics and National Chengchi University (NCCU)
Downloads 18 (673,435)

Abstract:

Loading...

Merger simulation, upward pricing pressure, diversion ratios

15.

Measurement of Technical Efficiency in Stochastic Frontier Analysis with Limited and Qualitative Dependent Variables

Number of pages: 20 Posted: 26 Jul 2017
Shih-Tang Hwu and Wen-Jen Tsay
University of Washington and Academia Sinica - Institute of Economics
Downloads 18 (673,435)

Abstract:

Loading...

Stochastic frontier analysis; Limited dependent variable; Technical efficiency

16.

A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter

SFB 649 Discussion Paper 2007-022
Number of pages: 29 Posted: 09 Jan 2017
Wen-Jen Tsay and Wolfgang K. Härdle
Academia Sinica - Institute of Economics and Blockchain Research Center
Downloads 15 (695,744)
Citation 1

Abstract:

Loading...

Markov chain, ARFIMA process, Viterbi algorithm, Long memory

17.

The Over-Deterrence Risks of Price Squeeze Tests in Regulated Industries

Number of pages: 17 Posted: 30 Nov 2021 Last Revised: 06 Dec 2021
Wen-Jen Tsay
Academia Sinica - Institute of Economics
Downloads 11 (727,354)

Abstract:

Loading...

Price squeeze; As-efficient competitor; Over-deterrence

18.

A Count Data Model with Dual Endogenous Binary Variables

Number of pages: 26 Posted: 30 Nov 2021
Academia Sinica - Institute of Economics, National Changhua University of Education, Institute of Economics, Academia Sinica and Academia Sinica
Downloads 3 (791,640)

Abstract:

Loading...

Endogenous binary variables, Quasi-maximum likelihood, Poisson regression, Two-stage estimation, Gravity model of international trade