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1.
Tsay, W.J., On the Power of Durbin-Watson Statistic against
Fractionally Integrated Processes. Econometric
Reviews, 17,
361-386, 1998.
2.
Tsay, W.J., Spurious Regression Between I(1)
Process with Infinite Variance Errors. Econometric
Theory, 15,
622-628, 1999.
3.
Tsay, W.J., Estimating Trending Variables in the Presence of
Fractionally Integrated Errors. Econometric
Theory, 16,
324-346, 2000.
4.
Tsay, W.J., Long Memory Story of the Real Interest Rate. Economics
Letters, 67,
325-330, 2000.
5.
Tsay, W.J. and C.-F. Chung, The Spurious
Regression of Fractionally Integrated Processes. Journal
of Econometrics, 96, 155-182, 2000.
6.
Tsay, W.J., Alternative Proof for the Consistency of the KPSS Tests
against Fractional Alternatives. Journal
of Social Sciences and Philosophy, 13, 401-416, 2001.
7.
曹添旺、賴錦昌、鍾俊文、郭炳伸、蔡文禎,
新台幣實質有效匯率指數之動態分析.台灣經濟預測與政策, 32, 93-130, 2002.
8.
Tsay, W.J., Testing for Contemporaneous Correlation of Disturbances
in Seemingly Unrelated Regressions with Serial Dependence. Economics
Letters, 83,
69-76, 2004.
9.
Tsay, W.J. and C.Y. Cyrus Chu, The Pattern
of Birth Spacing during Taiwan's Demographic Transition. Journal
of Population Economics, 18, 323-336, 2005.
10. Chen, C.C. and W.J. Tsay, The Beveridge-Nelson
Decomposition of Markov-Switching Processes. Economics
Letters, 91, 83-89, 2006.
11. Tsay, W.J, The
Educational Attainment of Second-Generation Mainland Chinese Immigrants in
Taiwan. Journal
of Population Economics, 19, 749-767, 2006.
12. Tsay, W.J., Using Difference-Based
Methods for Inference in Regression with Fractionally Integrated Processes. Journal
of Time Series Analysis, 28, 827-843, 2007.(pdf)
13. Tsay, W.J., Estimating Long
Memory Time-Series-Cross-Section Data. Electoral
Studies, 28, 129-140, 2009.(pdf)
14. Tsay, W.J. and W.K. Härdle, A Generalized ARFIMA
Process with Markov-Switching Fractional Differencing Parameter. Journal
of Statistical Computation and Simulation,
79, 731-745, 2009. (pdf) (GAUSS Code1: Estimation) (GAUSS Code2: Graph) (example)
15. Tsay, W.J., The
Fertility of Second-Generation Political Immigrants in Taiwan. Journal
of Immigrant & Refugee Studies,
7, 109-128, 2009.
16. Tsay, W.J., The
Long Memory Autoregressive Distributed Lag Model and Its Application on
Congressional Approval. Electoral Studies, 29, 128-143, 2010.(pdf) (code)
17. Tsay, W.J., Maximum Likelihood
Estimation of Stationary Multivariate ARFIMA Processes. Journal
of Statistical Computation and Simulation,
80, 729-745, 2010.(pdf)(the proposed conditional likelihood Durbin-Levinson algorithm is implemented by SAS/ETS® 14.3 user's guide, p. 3149)
18. Chen, C.C. and W.J. Tsay, A Markov Regime-Switching ARMA Approach for Hedging
Stock Indices. Journal of Futures Markets, 31, 165-191, 2011.
19. Tsay, W.J., Maximum Likelihood
Estimation of Structural VARFIMA Models. Electoral
Studies, 31,
852-860, 2012.(GAUSS
Code)
20. Tsay, W.J., Hung,C.J., Fu,T.T. and I.L.
Ho, A Simple Closed-Form Approximation for the Cumulative Distribution
Function of the Composite Error of Stochastic Frontier Models. Journal
of Productivity Analysis, 39(3), 259-269, 2013.(pdf)
21.
Chu,C.Y. Cyrus, Kim,S. and W.J.Tsay, Coresidence With Husband’s Parents, Labor Supply, and
Duration to First Birth. Demography,
51(1), 185-204, 2014.(pdf)
22. 韋豔、蔡文禎, 農村女性的社會流動：基于婚姻匹配的認識.人口研究, 38(4), 75-86, 2014.(pdf)
23. Amsler, C., P. Schmidt, and W.J. Tsay, A Post-Truncation Parameterization of Truncated Normal
Technical Inefficiency. Journal of Productivity Analysis, 44(2), 209-220, 2015. (pdf)
24.
Lai, H.P. and W.J. Tsay, Maximum Simulated Likelihood Estimation of the
Panel Sample Selection Model. Econometric
Reviews, 37(7), 744-759, 2018.
25. Lo, T.F., P.H. Ke, and W.J. Tsay, Pairwise Likelihood Inference for the Random
Effects Probit Model. Computational Statistics, 33(2), 837–861, 2018. (Mathematic
appendix)
26.
Amsler, C., P. Schmidt, and W.J. Tsay, Evaluating the CDF of the Distribution of the Stochastic Frontier Composed Error. Journal of Productivity Analysis, 52(1), 29-35, 2019.
27.
Chu, C.Y.C., J.C. Lin, and W.J. Tsay, Males' Housing Wealth and Their Marriage Market Advantage. Journal of Population Economics, 33, 1005–1023, 2020.
28.
Liao, J.C. and W.J. Tsay,
Optimal Multi-step VAR Forecast Averaging. Econometric Theory, 36(6), 1099-1126, 2020.
29.
Hwu, S.T., T.T. Fu, and W.J. Tsay,
Estimation and Efficiency Evaluation of Stochastic Frontier Models with Interval Dependent Variables. Journal of Productivity Analysis, 56, 33-44, 2021.
30.
Tsay, W.J., Estimating
Cartel Damages with Model Averaging Approach. International Review of Law and Economics, 68, 106019, 2021.
31.
Chu, C.Y.C., S.Y. Lin, and W.J. Tsay,
Estimating the Willingness to Pay for Voting When Absentee Voting Is Not Allowed. Social Science Quarterly, 102(4), 1380-1393, 2021.
32.
Tsay, W.J. and W.M. Hu,
Merger Simulation based on Survey–Generated Diversion Ratios. European Competition Journal, 18(2), 249-264, 2022.
33.
Wong, H.C. and W.J. Tsay,
Mallows Model Averaging Estimator for the MIDAS Model with Almon Polynomial Weight. Statistica Sinica, 32(4), 1811-1833, 2022.
34.
Tsay, W.J.,
The Over-Deterrence Risks of Price Squeeze Tests in Regulated Industries. Antitrust Law Journal (American Bar Association), 85(1), 195-215, 2023.
35.
Tsay, W.J. and P.H. Ke,
A Simple Approximation for the Bivariate Normal Integral. Communications in Statistics - Simulation and Computation, 52(4), 1463-1475, 2023.
36.
Wei, Y. and W.J. Tsay,
Does Distance Make Happiness? Geographic Proximity of Adult Children and the Well-being of Older Persons. Journal of Aging and Social Policy, 36(2), 222-240, 2024.
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