Wen-Jen Tsay

Academia Sinica - Institute of Economics

Research Fellow

128 Academia Road, Section 2

Nankang

Taipei, 11529

Taiwan

SCHOLARLY PAPERS

15

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in Total Papers Downloads

987

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Scholarly Papers (15)

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 468 (60,690)
Citation 2

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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 92 (281,937)

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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
Academia Sinica - Institute of Economics and Academia Sinica - Institute of Economics
Downloads 64 (347,879)
Citation 1

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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 61 (356,435)

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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
Academia Sinica - Institute of Economics and Academia Sinica - Institute of Economics
Downloads 47 (401,552)

Abstract:

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

6.

The Effects of WTO and Preferential Trade Agreements on Trade Flows: Count Data Models With Dual Endogenous Binary Treatments

Number of pages: 23 Posted: 07 Feb 2018 Last Revised: 11 Jul 2018
Institute of Economics, Academia Sinica, Institute of Economics, Academia Sinica, Academia Sinica - Institute of Economics and Academia Sinica - Institute of Economics
Downloads 43 (416,085)

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Quasi-Maximum Likelihood; Two-Stage Estimation; World Trade Organization; Preferential Trade Agreement

7.

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 41 (423,645)

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Structural stability, factor model, fluctuation monitoring

8.

Maximum Likelihood Estimation of Stochastic Frontier Models with Interval Dependent Variables

Number of pages: 21 Posted: 11 Oct 2016
Wen-Jen Tsay and Tsu-Tan Fu
Academia Sinica - Institute of Economics and Soochow University - Department of Economics
Downloads 38 (435,838)
Citation 1

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stochastic frontier production functions; interval dependent variable

9.

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 37 (439,897)

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

10.

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 33 (456,978)

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

11.

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 17 (543,672)

Abstract:

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Model averaging, Model selection, Spectral density estimator

12.

Estimating Cartel Damages with Model Averaging Approaches

Number of pages: 17 Posted: 20 Jun 2019
Wen-Jen Tsay
Academia Sinica - Institute of Economics
Downloads 14 (561,755)

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Cartel; Antitrust; Damage estimation

13.

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 and Cindy S.H. Wang
Academia Sinica - Institute of Economics and National Tsing Hua University - College of Technology Management
Downloads 13 (567,878)

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

14.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 10 (586,996)
Citation 1

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Markov chain, ARFIMA process, Viterbi algorithm, Long memory

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 9 (593,363)

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Stochastic frontier analysis; Limited dependent variable; Technical efficiency