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Research Fellows

Tsay, Wen-Jen

Tsay, Wen-Jen

  • Title:Research Fellow
  • E-Mail:wtsay at econ.sinica.edu.tw
  • Personal Website:http://idv.sinica.edu.tw/wjtsay/htm/index.htm
  • curriculum vitae:

    Ph.D. in Economics, Michigan State University (1995)
    Research Fields: Econometrics, International Finance, Political and Public Economy

Education background

  • Ph.D. in Economics, Michigan State University (1995)

Research Fields

  • Econometrics
  • International Economics - International Finance
  • Political and Public Economy

Current Position

  • Research Fellow, Institute of Economics, Academia Sinica (2009/3/2-present)


  • Associate Research Fellow, Institute of Economics, Academia Sinica (1999/9/26-2009/3/1)
  • Associate Professor, National Chi Nan University (1996/2/1-1999/9/25)
  • General Secretary, Taiwan Economic Association (2014 - 2015)


  • Research Award of National Science Council, Taiwan (1996-1998).
  • Outstanding Research Award of National Science Council, Taiwan (1999-2000).
  • Academia Sinica Research Award for Junior Research Investigators, Taiwan (2000).
  • Research Award of National Science Council, Taiwan (2001-2005)
  • Academia Sinica Investigator Award (2018)
  • Econometric Theory Multa Scripsit Award (2021)


  • Editorial Board, Journal of Immigrant and Refugee Studies (2011-2013)



  • Tsay, W.J. and W.M. Hu (2021), "Merger Simulation based on Survey–Generated Diversion Ratios," European Competition Journal, Accepted.
  • Tsay, W.J. (2021), "Estimating Cartel Damages with Model Averaging Approach," International Review of Law and Economics, Accepted.
  • Wei, Y. and W.J. Tsay (2021), "Does Distance Make Happiness? Geographic Proximity of Adult Children and the Well-being of Older Persons," Journal of Aging and Social Policy, Accepted.
  • Wong, H.C. and W.J. Tsay (2021), "Mallows Model Averaging Estimator for the MIDAS Model with Almon Polynomial Weight," Statistica Sinica, Accepted.
  • Tsay, W.J. and P.H. Ke (2021), "A Simple Approximation for the Bivariate Normal Integral," Communications in Statistics - Simulation and Computation, Accepted.
  • Chu, C.Y.C., S.Y. Lin, and W.J. Tsay (2021), "Estimating the Willingness to Pay for Voting When Absentee Voting Is Not Allowed," Social Science Quarterly, 1-14.
  • Hwu, S.T., T.T. Fu, and W.J. Tsay (2021), "Estimation and Efficiency Evaluation of Stochastic Frontier Models with Interval Dependent Variables," Journal of Productivity Analysis, 56, 33-44.
  • Liao, J.C. and W.J. Tsay (2020), "Optimal Multi-step VAR Forecast Averaging," Econometric Theory, 36(6), 1099-1126.
  • Chu, C.Y. Cyrus, J.C. Lin, and W.J. Tsay (2020), "Males' Housing Wealth and Their Marriage Market Advantage," Journal of Population Economics, 33 1005–1023.
  • Amsler, C., P. Schmidt, and W.J. Tsay (2019), "Evaluating the CDF of the Distribution of the Stochastic Frontier Composed Error," Journal of Productivity Analysis, 52(1), 29-35.
  • Lo, T.F., P.H. Ke, and W.J. Tsay (2018), "Pairwise Likelihood Inference for the Random Effects Probit Model," Computational Statistics, 33(2), 837–861. Files(Open New Window)
  • Lai, H.P. and W.J. Tsay (2018), "Maximum Simulated Likelihood Estimation of the Panel Sample Selection Model," Econometric Reviews, 37(7), 744-759. Links(Open New Window)
  • Amsler, C., P. Schmidt, and W.J. Tsay (2015), "A Post-Truncation Parameterization of Truncated Normal Technical Inefficiency," Journal of Productivity Analysis, 44(2), 209-220.
  • Wei, Y. and W.J. Tsay (2014), "Social Mobility of Females in Rural China: An Assortative Mating Perspective," Population Research, 38(4), 75-86.
  • Chu, C.Y. Cyrus, S.Kim, and W.J. Tsay (2014), "Coresidence With Husband's Parents, Labor Supply, and Duration to First Birth," Demography, 51(1), 185-204.
  • Tsay, W.J., C.J.Huang, T.T.Fu, and I.L. Ho (2013), "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.
  • Tsay, W.J. (2012), "Maximum Likelihood Estimation of Structural VARFIMA Models," Electoral Studies, 31(4), 852-860.
  • Chen, C.C. and W.J. Tsay (2011), "A Markov Regime-Switching ARMA Approach for Hedging Stock Indices," Journal of Futures Markets, 31(2), 165-191.
  • Tsay, W.J. (2010), "Maximum Likelihood Estimation of Stationary Multivariate ARFIMA Processes," Journal of Statistical Computation and Simulation, 80(7), 729-745 (the proposed conditional likelihood Durbin-Levinson algorithm is implemented by SAS/ETS® 14.3 user's guide, p. 3149).
  • Tsay, W.J. (2010), "The Long Memory Autoregressive Distributed Lag Model and Its Application on Congressional Approval," Electoral Studies, 29(1), 128-143.
  • Tsay, W.J. (2009), "The Fertility of Second-Generation Political Immigrants in Taiwan," Journal of Immigrant & Refugee Studies, 7(2), 109-128.
  • Tsay, W.J. and W.K. Härdle (2009), "A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter," Journal of Statistical Computation and Simulation, 79(5), 731-745.
  • Tsay, W.J. (2009), "Estimating Long Memory Time-Series-Cross-Section Data," Electoral Studies, 28(1), 129-140.

Working Paper(Click)

  • Tsay, W.J. (2019), "Estimating Cartel Damages with Model Averaging Approaches".
  • Chen, C.M., S.Y. Lin, S.K. Peng, and W.J. Tsay (2018), "The Effects of WTO and Preferential Trade Agreements on Trade Flows: Count Data Models With Dual Endogenous Binary Treatments".
  • Chen, C.M., S.K. Peng, and W.J. Tsay (2017), "Estimating Disparity in Welfare Gains from Trade between Firm Owners and Workers".
  • Chen, Y. C. and W. J. Tsay(2011), "Forecasting Commodity Prices with Mixed-Frequency Data: An OLS-Based Generalized ADL Approach".
  • Ke, P. H. and W. J. Tsay(2010), "A Simple Analytic Approximation Approach for Estimating the True Random Effects and True Fixed Effects Stochastic Frontier Models".
  • Tsay, W. J. (2009), "Monitoring Structural Changes in Regression with Long Memory Processes".
  • Kuo, B. S. and W. J. Tsay(2008), "The GMM Estimation with Long Difference and Multiple Difference Operators".


  • Chen, C. C. and W. J. Tsay(1997), "Robust Tests of Forward Exchange Market Efficiency" Annual Conference of Chinese Finance Association Thesis,.
  • Hwu, S. T. and W. J. Tsay(2017), "Measurement of Technical Efficiency in Stochastic Frontier Analysis with Limited and Qualitative Dependent Variable" Data Envelopment Analysis International Conference 2017 at Hefei, China,. Files(Open New Window)