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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.    Tsaur, T.-W., Lai, C.-C., Jung, C.-W., Kuo, B.-S. and W.J. Tsay, Dynamic Analysis on Taiwan's Real Effective Exchange Rate Index. Taiwan Economic Forecast and Policy, 32, 93-130, 2002. (Chinese)

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. Wei, Y. and W.J. Tsay, Social Mobility of Females in Rural China: An Assortative Mating Perspective. Population Research, 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., Jou-Chun 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, Accepted, 2021.