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Wen-Jen Tsay

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Christine Amsler & Peter Schmidt & Wen-Jen Tsay, 2013. "A Post-Truncation Parameterization of Truncated Normal Technical Inefficiency," IEAS Working Paper : academic research 13-A002, Institute of Economics, Academia Sinica, Taipei, Taiwan.

    Cited by:

    1. Christopher F. Parmeter & Hung-Jen Wang & Subal C. Kumbhakar, 2017. "Nonparametric estimation of the determinants of inefficiency," Journal of Productivity Analysis, Springer, vol. 47(3), pages 205-221, June.
    2. Namonje-Kapembwa, Thelma & Black, Roy & Jayne, Thomas S., 2015. "Does Late Delivery of Subsidized Fertilizer Affect Smallholder Maize Productivity and Production?," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205288, Agricultural and Applied Economics Association.
    3. Hampf, Benjamin, 2015. "Estimating the materials balance condition: A stochastic frontier approach," Darmstadt Discussion Papers in Economics 226, Darmstadt University of Technology, Department of Law and Economics.
    4. Cheol-Keun Cho & Peter Schmidt, 2020. "The wrong skew problem in stochastic frontier models when inefficiency depends on environmental variables," Empirical Economics, Springer, vol. 58(5), pages 2031-2047, May.

  2. Hung-pin Lai & Wen-Jen Tsay, 2012. "Maximum Likelihood Estimation of the Panel Sample Selection Model," IEAS Working Paper : academic research 12-A006, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised Oct 2012.

    Cited by:

    1. Majid M. Al-Sadoon & Sergi Jiménez-Martín & Jose M. Labeaga, 2019. "Simple methods for consistent estimation of dynamic panel data sample selection models," Economics Working Papers 1631, Department of Economics and Business, Universitat Pompeu Fabra.

  3. C. Y. Cyrus Chu & Seik Kim & Wen-Jen Tsay, 2011. "Coresidence with Husband's Parents, Labor Supply, and Duration to First Birth," IEAS Working Paper : academic research 11-A005, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised Mar 2013.

    Cited by:

    1. Landmann, Andreas & Seitz, Helke & Steiner, Susan, 2017. "Patrilocal Residence and Female Labour Supply," IZA Discussion Papers 10890, Institute of Labor Economics (IZA).
    2. Soo-Yeon Yoon, 2017. "The influence of a supportive environment for families on women’s fertility intentions and behavior in South Korea," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 36(7), pages 227-254.
    3. Varghese, Rekha & Roy, Manan, 2019. "Coresidence with mother-in-law and maternal anemia in rural India," Social Science & Medicine, Elsevier, vol. 226(C), pages 37-46.
    4. Li, Hongbin & Yi, Junjian & Zhang, Junsen, 2015. "Fertility, Household Structure, and Parental Labor Supply: Evidence from Rural China," IZA Discussion Papers 9342, Institute of Labor Economics (IZA).
    5. Elsayed, Ahmed & Marie, Olivier, 2020. "Less School (Costs), More (Female) Education? Lessons from Egypt Reducing Years of Compulsory Schooling," IZA Discussion Papers 13402, Institute of Labor Economics (IZA).
    6. Ji-Liang Shiu & Meng-Chi Tang, 2017. "A capable wife: couple’s joint decisions on labor supply and family chores," Empirical Economics, Springer, vol. 53(2), pages 827-851, September.
    7. Guo, Rufei & Li, Hongbin & Yi, Junjian & Zhang, Junsen, 2018. "Fertility, household structure, and parental labor supply: Evidence from China," Journal of Comparative Economics, Elsevier, vol. 46(1), pages 145-156.
    8. Andreas Landmann & Helke Seitz & Susan Steiner, 2018. "Patrilocal Residence and Female Labor Supply: Evidence From Kyrgyzstan," Demography, Springer;Population Association of America (PAA), vol. 55(6), pages 2181-2203, December.
    9. Sen Ma & Fangqi Wen, 2016. "Who Coresides With Parents? An Analysis Based on Sibling Comparative Advantage," Demography, Springer;Population Association of America (PAA), vol. 53(3), pages 623-647, June.

  4. Yu-chin Chen & Wen-Jen Tsay, 2011. "Forecasting Commodity Prices with Mixed-Frequency Data: An OLS-Based Generalized ADL Approach," IEAS Working Paper : academic research 11-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised May 2011.

    Cited by:

    1. Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent, 2014. "Do We Need Ultra-High Frequency Data to Forecast Variances?," Working Papers halshs-01078158, HAL.
    2. Yu-chin Chen & Stephen J. Turnovsky & Eric Zivot, 2011. "Forecasting Inflation using Commodity Price Aggregates," Working Papers UWEC-2011-14, University of Washington, Department of Economics.
    3. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Post-Print hal-01448237, HAL.
    4. Yu-chin Chen & Kenneth Rogoff, 2006. "Are the Commodity Currencies an Exception to the Rule?," Working Papers UWEC-2006-28, University of Washington, Department of Economics, revised Mar 2012.
    5. Buncic, Daniel & Moretto, Carlo, 2015. "Forecasting copper prices with dynamic averaging and selection models," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 1-38.
    6. Evgenia Passari, 2015. "Commodity Currencies Revisited," Post-Print hal-01453266, HAL.
    7. Denisa BANULESCU-RADU & Laurent FERRARA & Clément MARSILLI, 2019. "Prévoir la volatilité d’un actif financier à l’aide d’un modèle à mélange de fréquences," LEO Working Papers / DR LEO 2710, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.

  5. Wen-Jen Tsay & Cliff J. Huang & Tsu-Tan Fu & I-Lin Ho, 2009. "Maximum Likelihood Estimation of Censored Stochastic Frontier Models: An Application to the Three-Stage DEA Method," IEAS Working Paper : academic research 09-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.

    Cited by:

    1. Christine Amsler & Artem Prokhorov & Peter Schmidt, 2014. "Using Copulas to Model Time Dependence in Stochastic Frontier Models," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 497-522, August.

  6. Wen-Jen Tsay, 2007. "Maximum Likelihood Estimation of Stationary Multivariate ARFIMA Processes," IEAS Working Paper : academic research 07-A011, Institute of Economics, Academia Sinica, Taipei, Taiwan.

    Cited by:

    1. Kristoufek, Ladislav, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6484-6493.
    2. Rebecca J. Sela & Clifford M. Hurvich, 2009. "Computationally efficient methods for two multivariate fractionally integrated models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 631-651, November.
    3. Kristoufek, Ladislav, 2015. "On the interplay between short and long term memory in the power-law cross-correlations setting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 218-222.
    4. Pai, Jeffrey & Ravishanker, Nalini, 2009. "Maximum likelihood estimation in vector long memory processes via EM algorithm," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4133-4142, October.

  7. Tsay, Wen-Jen & Härdle, Wolfgang Karl, 2007. "A generalized ARFIMA process with Markov-switching fractional differencing parameter," SFB 649 Discussion Papers 2007-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. M. A. Limam & V. Terraza & M. Terraza, 2017. "Hedge Fund Return Dynamics: Long Memory and Regime Switching," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(4), pages 148-166, October.
    2. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Long Memory and Volatility Dynamics in the US Dollar Exchange Rate," Faculty Working Papers 04/11, School of Economics and Business Administration, University of Navarra.
    3. Di Sanzo, Silvestro, 2018. "A Markov switching long memory model of crude oil price return volatility," Energy Economics, Elsevier, vol. 74(C), pages 351-359.
    4. Rasmus T. Varneskov & Pierre Perron, 2017. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series WP2017-006, Boston University - Department of Economics.
    5. Massimiliano Caporin & Rangan Gupta, 2017. "Time-varying persistence in US inflation," Empirical Economics, Springer, vol. 53(2), pages 423-439, September.
    6. Boubaker Heni, 2018. "A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter," Journal of Time Series Econometrics, De Gruyter, vol. 10(1), pages 1-20, January.
    7. Chen, Shyh-Wei, 2013. "Long memory and regime switching properties of current account deficits in the US," Economic Modelling, Elsevier, vol. 35(C), pages 78-87.

  8. Wen-Jen Tsay, 2007. "Estimating Long Memory Time-Series-Cross-Section Data," IEAS Working Paper : academic research 07-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.

    Cited by:

    1. Heni Boubaker, 2016. "A Comparative Study of the Performance of Estimating Long-Memory Parameter Using Wavelet-Based Entropies," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 693-731, December.

Articles

  1. Liao, Jen-Che & Tsay, Wen-Jen, 2020. "Optimal Multistep Var Forecast Averaging," Econometric Theory, Cambridge University Press, vol. 36(6), pages 1099-1126, December.

    Cited by:

    1. Chen, Qitong & Hong, Yongmiao & Li, Haiqi, 2024. "Time-varying forecast combination for factor-augmented regressions with smooth structural changes," Journal of Econometrics, Elsevier, vol. 240(1).
    2. Zhang, Xiaomeng & Zhang, Xinyu, 2023. "Optimal model averaging based on forward-validation," Journal of Econometrics, Elsevier, vol. 237(2).
    3. Tsay, Wen-Jen, 2021. "Estimating cartel damages with model averaging approaches," International Review of Law and Economics, Elsevier, vol. 68(C).

  2. C. Y. Cyrus Chu & Jou-Chun Lin & Wen-Jen Tsay, 2020. "Males’ housing wealth and their marriage market advantage," Journal of Population Economics, Springer;European Society for Population Economics, vol. 33(3), pages 1005-1023, July.

    Cited by:

    1. Hong Liu & Lili Liu & Fei Wang, 2023. "Housing wealth and fertility: evidence from China," Journal of Population Economics, Springer;European Society for Population Economics, vol. 36(1), pages 359-395, January.
    2. Ge, Shilong & Yang, Xiaozhong & Zhang, Cheng & Xiong, Ying, 2023. "Heterogeneity of public services, gender identity, and the spatial allocation of real estate," Finance Research Letters, Elsevier, vol. 52(C).
    3. Sigurdsson, Jósef, 2023. "Transitory Earnings Opportunities and Educational Scarring of Men," IZA Discussion Papers 16050, Institute of Labor Economics (IZA).
    4. Jósef Sigurdsson, 2023. "Transitory Earnings Opportunities and Educational Scarring of Men," CESifo Working Paper Series 10361, CESifo.
    5. Ya Gao & Rob Alessie & Viola Angelini, 2023. "Parental housing wealth and children’s marriage prospects in China—evidence from CHARLS," Review of Economics of the Household, Springer, vol. 21(2), pages 615-644, June.
    6. Hu, Yun-Zhi & Xuan, Ye & Wang, Hai-Feng, 2024. "Does “son preference” affect rural floating parents’ willingness to settle in towns and cities?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 485-510.

  3. Christine Amsler & Peter Schmidt & Wen-Jen Tsay, 2019. "Evaluating the CDF of the distribution of the stochastic frontier composed error," Journal of Productivity Analysis, Springer, vol. 52(1), pages 29-35, December.

    Cited by:

    1. Shih-Tang Hwu & Tsu-Tan Fu & Wen-Jen Tsay, 2021. "Estimation and efficiency evaluation of stochastic frontier models with interval dependent variables," Journal of Productivity Analysis, Springer, vol. 56(1), pages 33-44, August.
    2. Christine Amsler & Alecos Papadopoulos & Peter Schmidt, 2021. "Evaluating the cdf of the Skew Normal distribution," Empirical Economics, Springer, vol. 60(6), pages 3171-3202, June.
    3. Simos G. Meintanis & Christos K. Papadimitriou, 2022. "Goodness--of--fit tests for stochastic frontier models based on the characteristic function," Journal of Productivity Analysis, Springer, vol. 57(3), pages 285-296, June.
    4. Justin Dang & Aman Ullah, 2023. "Generalized kernel regularized least squares estimator with parametric error covariance," Empirical Economics, Springer, vol. 64(6), pages 3059-3088, June.

  4. Hung-Pin Lai & Wen-Jen Tsay, 2018. "Maximum simulated likelihood estimation of the panel sample selection model," Econometric Reviews, Taylor & Francis Journals, vol. 37(7), pages 744-759, August.

    Cited by:

    1. Sergi Jiménez-Martín & José M. Labeaga & Majid al Sadoon, 2020. "Consistent estimation of panel data sample selection models," Working Papers 2020-06, FEDEA.

  5. Christine Amsler & Peter Schmidt & Wen-Jen Tsay, 2015. "A post-truncation parameterization of truncated normal technical inefficiency," Journal of Productivity Analysis, Springer, vol. 44(2), pages 209-220, October.
    See citations under working paper version above.
  6. C. Chu & Seik Kim & Wen-Jen Tsay, 2014. "Coresidence With Husband’s Parents, Labor Supply, and Duration to First Birth," Demography, Springer;Population Association of America (PAA), vol. 51(1), pages 185-204, February.
    See citations under working paper version above.
  7. Wen-Jen Tsay & Cliff Huang & Tsu-Tan Fu & I.-Lin Ho, 2013. "A simple closed-form approximation for the cumulative distribution function of the composite error of stochastic frontier models," Journal of Productivity Analysis, Springer, vol. 39(3), pages 259-269, June.

    Cited by:

    1. Christine Amsler & Peter Schmidt & Wen-Jen Tsay, 2019. "Evaluating the CDF of the distribution of the stochastic frontier composed error," Journal of Productivity Analysis, Springer, vol. 52(1), pages 29-35, December.
    2. Tai-Hsin Huang & Nan-Hung Liu & Subal C. Kumbhakar, 2018. "Joint estimation of the Lerner index and cost efficiency using copula methods," Empirical Economics, Springer, vol. 54(2), pages 799-822, March.
    3. Huang, Tai-Hsin & Lin, Chung-I & Wu, Ruei-Cian, 2019. "Assessing the marketing and investment efficiency of Taiwan’s life insurance firms under network structures," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 132-147.
    4. T.-F. Lo & P.-H. Ke & W.-J. Tsay, 2018. "Pairwise likelihood inference for the random effects probit model," Computational Statistics, Springer, vol. 33(2), pages 837-861, June.
    5. Hung-pin Lai & Cliff Huang, 2013. "Maximum likelihood estimation of seemingly unrelated stochastic frontier regressions," Journal of Productivity Analysis, Springer, vol. 40(1), pages 1-14, August.
    6. Tai-Hsin Huang & Nan-Hung Liu, 2014. "Bank competition in transition countries: Are those markets really in equilibrium?," Empirical Economics, Springer, vol. 47(4), pages 1283-1316, December.
    7. Huang, Tai-Hsin & Lin, Chung-I & Chen, Kuan-Chen, 2017. "Evaluating efficiencies of Chinese commercial banks in the context of stochastic multistage technologies," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 93-110.
    8. Huang, Tai-Hsin & Chiang, Dien-Lin & Lin, Chung-I, 2017. "A new approach to estimating a profit frontier using the censored stochastic frontier model," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 68-77.
    9. Shih-Tang Hwu & Tsu-Tan Fu & Wen-Jen Tsay, 2021. "Estimation and efficiency evaluation of stochastic frontier models with interval dependent variables," Journal of Productivity Analysis, Springer, vol. 56(1), pages 33-44, August.
    10. Christine Amsler & Alecos Papadopoulos & Peter Schmidt, 2021. "Evaluating the cdf of the Skew Normal distribution," Empirical Economics, Springer, vol. 60(6), pages 3171-3202, June.
    11. Martini, Gianmaria & Scotti, Davide & Viola, Domenico & Vittadini, Giorgio, 2020. "Persistent and temporary inefficiency in airport cost function: An application to Italy," Transportation Research Part A: Policy and Practice, Elsevier, vol. 132(C), pages 999-1019.
    12. Tai-Hsin Huang & Yi-Chun Lin & Kuo-Jui Huang & Yu-Wei Liao, 2022. "Comparing Cost Efficiency Between Financial and Non-financial Holding Banks and Insurers in Taiwan Under the Framework of Copula Methods and Metafrontier," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 735-766, December.
    13. Huang, Tai-Hsin & Chen, Kuan-Chen & Lin, Chung-I, 2018. "An extension from network DEA to copula-based network SFA: Evidence from the U.S. commercial banks in 2009," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 51-62.
    14. Huang, Tai-Hsin & Hu, Chu-Nan & Chang, Bao-Guang, 2018. "Competition, efficiency, and innovation in Taiwan’s banking industry — An application of copula methods," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 362-375.
    15. Huang, Tai-Hsin & Chiang, Dien-Lin & Chao, Shih-Wei, 2017. "A new approach to jointly estimating the Lerner index and cost efficiency for multi-output banks under a stochastic meta-frontier framework," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 212-226.

  8. Chao‐Chun Chen & Wen‐Jen Tsay, 2011. "A Markov regime‐switching ARMA approach for hedging stock indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(2), pages 165-191, February.

    Cited by:

    1. Chang, Kuang-Liang, 2016. "Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 72-87.
    2. Zhipeng, Yan & Shenghong, Li, 2018. "Hedge ratio on Markov regime-switching diagonal Bekk–Garch model," Finance Research Letters, Elsevier, vol. 24(C), pages 49-55.
    3. Kim, Myeong Jun & Park, Sung Y., 2016. "Optimal conditional hedge ratio: A simple shrinkage estimation approach," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 139-156.
    4. Yu, Xing & Li, Yanyan & Lu, Junli & Shen, Xilin, 2023. "Futures hedging in crude oil markets: A trade-off between risk and return," Resources Policy, Elsevier, vol. 80(C).
    5. Park, Jin Suk & Shi, Yukun, 2017. "Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 176-191.
    6. Geir D. Berentsen & Jan Bulla & Antonello Maruotti & Bård Støve, 2022. "Modelling clusters of corporate defaults: Regime‐switching models significantly reduce the contagion source," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(3), pages 698-722, June.

  9. Wen‐Jen Tsay, 2007. "Using Difference‐Based Methods for Inference in Regression with Fractionally Integrated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 827-843, November.

    Cited by:

    1. Carlos D. Ramirez, 2024. "The effect of economic policy uncertainty under fractional integration," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 89-110, January.
    2. Dalkir, Mehmet, 2010. "Spurious correlation under fractional integration in output series," Economics Letters, Elsevier, vol. 107(2), pages 165-168, May.

  10. Wen-Jen Tsay, 2006. "The educational attainment of second-generation mainland Chinese immigrants in Taiwan," Journal of Population Economics, Springer;European Society for Population Economics, vol. 19(4), pages 749-767, October.

    Cited by:

    1. Warman, Casey & Webb, Matthew D. & Worswick, Christopher, 2018. "Immigrant Category of Admission and the Earnings of Adults and Children: How far does the Apple Fall?," GLO Discussion Paper Series 196, Global Labor Organization (GLO).
    2. Siahaan, Freddy & Lee, Daniel Y. & Kalist, David E., 2014. "Educational attainment of children of immigrants: Evidence from the national longitudinal survey of youth," Economics of Education Review, Elsevier, vol. 38(C), pages 1-8.
    3. Wen-Jen Tsay, 2007. "The Fertility of Second-Generation Political Immigrants in Taiwan," IEAS Working Paper : academic research 07-A004, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    4. Cheng, Hui-Pei & Swee, Eik Leong, 2024. "Farewell President! Political favoritism, economic inequality, and political polarization," European Journal of Political Economy, Elsevier, vol. 81(C).
    5. Lin, Eric S. & Lu, Yu-Lung, 2015. "The Educational Achievement of Pupils with Immigrant and Native Mothers: Evidence from Taiwan," IZA Discussion Papers 9435, Institute of Labor Economics (IZA).

  11. Chen, Chao-Chun & Tsay, Wen-Jen, 2006. "The Beveridge-Nelson decomposition of Markov-switching processes," Economics Letters, Elsevier, vol. 91(1), pages 83-89, April.

    Cited by:

    1. Chin Nam Low & Heather Anderson & Ralph Snyder, 2006. "Beverridge Nelson Decomposition With Markov Switching," CAMA Working Papers 2006-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Morley, James & Piger, Jeremy, 2008. "Trend/cycle decomposition of regime-switching processes," Journal of Econometrics, Elsevier, vol. 146(2), pages 220-226, October.
    3. Marçal, Emerson & Simões, Oscar Rodrigues, 2024. "Current account and real effective exchange rate dynamics: the role of non-linear dynamics in Brazil," Textos para discussão 571, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    4. Kim, Chang-Jin, 2008. "Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984?," Journal of Econometrics, Elsevier, vol. 146(2), pages 227-240, October.

  12. Wen-Jen Tsay & C. Y. Cyrus Chu, 2005. "The pattern of birth spacing during Taiwan's demographic transition," Journal of Population Economics, Springer;European Society for Population Economics, vol. 18(2), pages 323-336, June.

    Cited by:

    1. Sylvie Lambert & Pauline Rossi, 2016. "Sons as widowhood insurance: Evidence from Senegal," Post-Print halshs-01379302, HAL.
    2. Olfa Frini & Christophe Muller, 2023. "Revisiting fertility regulation and family ties in Tunisia," Post-Print hal-03978907, HAL.
    3. C.Y. Cyrus Chu & Seik Kim & Wen-Jen Tsay, 2012. "Coresidence with Husband's Parents, Labor Supply, and Duration to First Birth," Working Papers UWEC-2012-04, University of Washington, Department of Economics.
    4. Pauline Rossi & Léa Rouanet, 2015. "Gender Preferences in Africa: A Comparative Analysis of Fertility Choices," Working Papers halshs-01074934, HAL.
    5. Yao, Yao, 2016. "Fertility and HIV risk in Africa," Working Paper Series 19501, Victoria University of Wellington, School of Economics and Finance.
    6. Javed, Rashid & Mughal, Mazhar, 2020. "Preference for boys and length of birth intervals in Pakistan," Research in Economics, Elsevier, vol. 74(2), pages 140-152.
    7. Ji-Liang Shiu & Meng-Chi Tang, 2017. "A capable wife: couple’s joint decisions on labor supply and family chores," Empirical Economics, Springer, vol. 53(2), pages 827-851, September.
    8. Lien, Hsien-Ming & Wang, Ping, 2016. "The timing of childbearing: The role of human capital and personal preferences," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 247-264.
    9. Susan Schaffnit & Rebecca Sear, 2017. "Supportive families versus support from families: The decision to have a child in the Netherlands," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 37(14), pages 414-454.
    10. Kristin Snopkowski & Rebecca Sear, 2016. "Does grandparental help mediate the relationship between kin presence and fertility?," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 34(17), pages 467-498.
    11. Wataru Kureishi & Midori Wakabayashi, 2011. "Son preference in Japan," Journal of Population Economics, Springer;European Society for Population Economics, vol. 24(3), pages 873-893, July.
    12. Olfa Frini & Christophe Muller, 2021. "Fertility Regulation and Family Influence in Tunisia," AMSE Working Papers 2113, Aix-Marseille School of Economics, France, revised Aug 2021.
    13. Hung-Han Lin, 2018. "Number of siblings and educational attainment: application of son preference," Applied Economics Letters, Taylor & Francis Journals, vol. 25(2), pages 83-86, January.

  13. Tsay, Wen-Jen, 2004. "Testing for contemporaneous correlation of disturbances in seemingly unrelated regressions with serial dependence," Economics Letters, Elsevier, vol. 83(1), pages 69-76, April.

    Cited by:

    1. Christoph Strumann, 2019. "Hodges–Lehmann Estimation of Static Panel Models with Spatially Correlated Disturbances," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 141-168, January.
    2. Jesús Mur & Fernando López & Marcos Herrera, 2010. "Testing for Spatial Effects in Seemingly Unrelated Regressions," Spatial Economic Analysis, Taylor & Francis Journals, vol. 5(4), pages 399-440.
    3. Francesco Moscone & Elisa Tosetti, 2009. "A Review And Comparison Of Tests Of Cross‐Section Independence In Panels," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 528-561, July.
    4. Kamogawa, Luiz Fernando Ohara & SHIROTA, RICARDO, 2006. "Economic Growth And Energy Consumption: A Sur Regression Model Application In Brazil For Several Sources Of Fuel," 44th Congress, July 23-27, 2006, Fortaleza, Ceará, Brazil 148465, Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER).
    5. Chuanhua Wei & Xiaoxiao Ma, 2021. "Empirical Likelihood Ratio Test for Seemingly Unrelated Regression Models," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 10(3), pages 1-1, June.
    6. Jinhong You & Alan Wan & Shu Liu & Yong Zhou, 2015. "A varying-coefficient approach to estimating multi-level clustered data models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 417-440, June.

  14. Tsay, Wen-Jen & Chung, Ching-Fan, 2000. "The spurious regression of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 155-182, May.

    Cited by:

    1. Phillips, Peter C.B., 2005. "Challenges of trending time series econometrics," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 401-416.
    2. John Barkoulas & Christopher Baum & Mustafa Caglayan, 1999. "Fractional monetary dynamics," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1393-1400.
    3. Sun, Yixiao, 2006. "Spurious regressions between stationary generalized long memory processes," Economics Letters, Elsevier, vol. 90(3), pages 446-454, March.
    4. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers 28570, National Bureau of Economic Research, Inc.
    5. Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
    6. Antonio E. Noriega & Daniel Ventosa‐Santaulària, 2006. "Spurious Regression Under Broken‐Trend Stationarity," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 671-684, September.
    7. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2006. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," NBER Working Papers 12658, National Bureau of Economic Research, Inc.
    8. Zeynel Abidin Ozdemir, 2010. "Dynamics Of Inflation, Output Growth And Their Uncertainty In The Uk: An Empirical Analysis," Manchester School, University of Manchester, vol. 78(6), pages 511-537, December.
    9. Aaron Smallwood & Stefan C. Norrbin, 2008. "An Encompassing Test of Real Interest Rate Equalization," Review of International Economics, Wiley Blackwell, vol. 16(1), pages 114-126, February.
    10. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
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    15. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti & Aris Kartsaklas, 2021. "Investors' trading behaviour and stock market volatility during crisis periods: A dual long‐memory model for the Korean Stock Exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4441-4461, July.
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    25. Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, Department of Economics and Business Economics, Aarhus University.
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    36. Baranzini, Andrea & Weber, Sylvain, 2013. "Elasticities of gasoline demand in Switzerland," Energy Policy, Elsevier, vol. 63(C), pages 674-680.
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  15. Tsay, Wen-Jen, 2000. "Long memory story of the real interest rate," Economics Letters, Elsevier, vol. 67(3), pages 325-330, June.

    Cited by:

    1. Alfred Haug, 2012. "On real interest rate persistence: the role of breaks," Working Papers 65, Department of Applied Econometrics, Warsaw School of Economics.
    2. Guglielmo Maria Caporale & Luis Alberiko Gil-Alaña, 2011. "Interest rate dynamics in Kenya," NCID Working Papers 10/2011, Navarra Center for International Development, University of Navarra.
    3. Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2005. "The Long Memory Story Of Real Interest Rates. Can It Be Supported?," Working Papers. Serie AD 2005-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    4. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, vol. 90(Nov), pages 609-642.
    5. Souza, Sergio R. & Tabak, Benjamin M. & Cajueiro, Daniel O., 2008. "Long memory testing for Fed Funds Futures’ contracts," Chaos, Solitons & Fractals, Elsevier, vol. 37(1), pages 180-186.
    6. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2022. "Globalization, long memory, and real interest rate convergence: a historical perspective," Empirical Economics, Springer, vol. 63(5), pages 2331-2355, November.
    7. Aaron Smallwood & Stefan C. Norrbin, 2008. "An Encompassing Test of Real Interest Rate Equalization," Review of International Economics, Wiley Blackwell, vol. 16(1), pages 114-126, February.
    8. Coleman, Simeon & Sirichand, Kavita, 2012. "Fractional integration and the volatility of UK interest rates," Economics Letters, Elsevier, vol. 116(3), pages 381-384.
    9. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2017. "Central Bank Policy Rates: Are they Cointegrated?," CESifo Working Paper Series 6389, CESifo.
    10. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    11. Guglielmo Maria Caporale & Luis A. Gil-Alana & OlaOluwa Simon Yaya, 2022. "Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields," CESifo Working Paper Series 9554, CESifo.
    12. Guglielmo Caporale & Luis Gil-Alana, 2016. "Persistence and cyclical dependence in the monthly euribor rate," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 157-171, January.
    13. Guglielmo Maria Caporale & Luis Gil-Alaña, 2019. "Testing the Fisher hypothesis in the G-7 countries using I(d) techniques," International Economics, CEPII research center, issue 159, pages 140-150.
    14. Jesús Clemente & María Dolores Gadea & Antonio Montañés & Marcelo Reyes, 2017. "Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries," Econometrics, MDPI, vol. 5(1), pages 1-17, February.
    15. Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "Testing for time-varying long-range dependence in real state equity returns," Chaos, Solitons & Fractals, Elsevier, vol. 38(1), pages 293-307.
    16. Daniel Oliveira Cajueiro & Benjamin M. Tabak, 2010. "Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy," Working Papers Series 206, Central Bank of Brazil, Research Department.
    17. Tabak, Benjamin M. & Cajueiro, Daniel O., 2005. "The long-range dependence behavior of the term structure of interest rates in Japan," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 418-426.
    18. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2017. "Persistence and cycles in the us federal funds rate," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 1-8.
    19. Menelaos Karananos & S.H Sekioua & N Zeng, 2005. "On the order of integration of monthly US ex-ante and ex-post real interest rates new evidence from over a century of data," Money Macro and Finance (MMF) Research Group Conference 2005 21, Money Macro and Finance Research Group.
    20. Lai, Kon S., 2008. "The puzzling unit root in the real interest rate and its inconsistency with intertemporal consumption behavior," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 140-155, February.
    21. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Non-Linearities and Persistence in US Long-Run Interest Rates," CESifo Working Paper Series 8744, CESifo.
    22. Selçuk BAYRACI, 2017. "Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(612), A), pages 71-82, Autumn.
    23. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    24. Nuruddeen Usman & Martins Apinran, 2024. "Policy rates in ECOWAS: are they fractionally cointegrated?," SN Business & Economics, Springer, vol. 4(11), pages 1-15, November.
    25. da Silva, Cleomar Gomes & Leme, Maria Carolina da Silva, 2011. "An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(3), September.
    26. Gil-Alana, Luis A. & Cunado, Juncal & Gupta, Rangan, 2017. "Evidence of persistence in U.S. short and long-term interest rates," Journal of Policy Modeling, Elsevier, vol. 39(5), pages 775-789.
    27. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
    28. Lai, Kon S., 2004. "On structural shifts and stationarity of the ex ante real interest rate," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 217-228.
    29. Barry E. Jones & Travis D. Nesmith, 2006. "Linear cointegration of nonlinear time series with an application to interest rate dynamics," Finance and Economics Discussion Series 2007-03, Board of Governors of the Federal Reserve System (U.S.).
    30. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Time-varying long-range dependence in US interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 34(2), pages 360-367.
    31. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Testing for long-range dependence in the Brazilian term structure of interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 1559-1573.
    32. Iorember, Paul & Usar, Terzungwe & Ibrahim, Kabiru, 2018. "ANALYSING Inflation in Nigeria: A Fractionally Integrated ARFIMA-GARCH Modelling Approach," MPRA Paper 85655, University Library of Munich, Germany.
    33. Cleomar Gomes da Silva & Flávio Vilela Vieira, 2014. "BRICS countries: real interest rates and long memory," Economics Bulletin, AccessEcon, vol. 34(1), pages 409-419.
    34. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "The Behavior of Real Interest Rates: New Evidence from a ``Suprasecular" Perspective," Working Papers 202093, University of Pretoria, Department of Economics.
    35. Onsurang Norrbin & Aaron D. Smallwood, 2011. "Mean Reversion in the Real Interest Rate and the Effects of Calculating Expected Inflation," Southern Economic Journal, John Wiley & Sons, vol. 78(1), pages 107-130, July.
    36. Giorgio Canarella & Luis A. Gil‐Alana & Rangan Gupta & Stephen M. Miller, 2022. "The behaviour of real interest rates: New evidence from a 'suprasecular' perspective," International Finance, Wiley Blackwell, vol. 25(1), pages 46-64, April.
    37. Borja Balparda & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2017. "The fisher relationship in Nigeria," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(2), pages 343-353, April.
    38. Cheng-Feng Lee & Ching-Chuan Tsong, 2012. "A revisit on real interest rate parity hypothesis -- simulation evidence from efficient unit root tests," Applied Economics, Taylor & Francis Journals, vol. 44(24), pages 3089-3099, August.

  16. Tsay, Wen-Jen, 2000. "Estimating Trending Variables In The Presence Of Fractionally Integrated Errors," Econometric Theory, Cambridge University Press, vol. 16(3), pages 324-346, June.

    Cited by:

    1. Joerg Breitung and Uwe Hassler, 2001. "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001 233, Society for Computational Economics.
    2. Hafner, Christian & Wang, Shin-Huei, 2011. "Estimating autocorrelations in the presence of deterministic trends," LIDAM Reprints ISBA 2011051, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Uwe Hassler & Francesc Marmol & Carlos Velasco, 2008. "Fractional cointegration in the presence of linear trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1088-1103, November.

  17. Tsay, Wen-Jen, 1999. "Spurious Regression Between I(1) Processes With Infinite Variance Errors," Econometric Theory, Cambridge University Press, vol. 15(4), pages 622-628, August.

    Cited by:

    1. Jin, Hao & Zhang, Jinsuo & Zhang, Si & Yu, Cong, 2013. "The spurious regression of AR(p) infinite-variance sequence in the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 25-40.
    2. Granger, Clive W.J., 2012. "Useful conclusions from surprising results," Journal of Econometrics, Elsevier, vol. 169(2), pages 142-146.
    3. Chu Ba & Kozhan Roman, 2010. "Spurious Regressions of Stationary AR(p) Processes with Structural Breaks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(1), pages 1-25, December.

  18. W. Tsay, 1998. "On the power of durbin-watson statistic against fractionally integrated processes," Econometric Reviews, Taylor & Francis Journals, vol. 17(4), pages 361-386.

    Cited by:

    1. Tsay, Wen-Jen & Chung, Ching-Fan, 2000. "The spurious regression of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 155-182, May.
    2. Kleiber, Christian & Krämer, Walter, 2004. "Finite sample of the Durbin-Watson test against fractionally integrated disturbances," Technical Reports 2004,15, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Hsiao, James Po-Hsun & Jaw, Chyi & Huan, Tzung-Cheng, 2009. "Information diffusion and new product consumption: A bass model application to tourism facility management," Journal of Business Research, Elsevier, vol. 62(7), pages 690-697, July.
    4. Franco Bevilacqua & Adriaan van Zon, 2002. "Random Walks and Non-Linear Paths in Macroeconomic Time Series: Some Evidence and Implications," Working Papers geewp22, Vienna University of Economics and Business Research Group: Growth and Employment in Europe: Sustainability and Competitiveness.

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