Yu-Chin Hsu's CV
(許育進)
June 2018

(pdf version)

Contact Information
   
  
Institute of Economics
      Academia Sinica

      128 Academia Road, Section 2
      Nankang, Taipei, 115 Taiwan

      Office: 886-2-27822791 ext. 322
      Fax: 886-2-2785-3946
      URL: http://yuchinhsu.yolasite.com/
      E-mail: ychsu(AT)econ.sinica.edu.tw

Personal Information
      Gender: Male
      Date of Birth: 10/02/1978
      Citizenship: Taiwan

Current Employment
      Associate Research Fellow, Institute of Economics, Academia Sinica,
          
November 2014 -- present
      Adjunct Associate Professor, Department of Finance, National Central University,
           August 2017
-- present
       Adjunct Associate Professor, Department of Economics, National Chengchi University,
           March 2018
-- present

Past Employment      
      Assistant Research Fellow, 
Institute of Economics, Academia Sinica,
           August 2012 -- November 2014

      Assistant Professor, Department of Economics
, University of Missouri at Columbia,
           September 2010 -- May 2012

Education
      University of Texas at Austin, Austin, TX
  
            Ph.D. Economics, September 2004~June 2010.
      University of Texas at Austin, Austin, TX
  
            M.S. Economics, September 2004~June 2006.
      National Taiwan University, Taipei, Taiwan
  
            M.A. Economics, September 2000~June 2002.
      National Taiwan University, Taipei, Taiwan
    
          B.S. Mathematics, September 1996~June 2000.

Research Interests
      Econometric Theory

Honors and Awards
     
Outstanding Research Award, Ministry of Science and Technology (2018)
     
Young
Scholar Award, TRIA Taiwan Risk and Insurance Association (2017)
     
Young Scholar's Creativity Award,
Foundation for the Advancement of Outstanding
                  Scholarship  (2017)

      TWAS Young Affiliate
,
The World Academy of Sciences (2016)     
      Fubon Paper Award, International Conference of Taiwan Finance Association
                 "Testing Cross-Sectional Stock Returns Predictability without Data Snooping
                  Bias" (shared with Kendro Vincent) (2016)
     
Junior Research Investigators Award, Academia Sinica (2015)
      Career Development Award, Academia Sinica (2015-2019)
      Ministry of Science and Technology
Wu Ta-Yu Memorial Award (2014)
      Young Faculty Award,
(5-year term), Foundation for the Advancement of                                                    Outstanding Scholarship,  (2012-2017)
      Gordon Fellowship in Institutional Economics (
Fall 2008, Spring 2009)
      Hale Fellowship (Summer 2007, 2008)
      Murray S. Johnson Fellowship in Economics (Summer 2006, 2008, 2009)
      Phi-Tau-Phi Scholastic Honor of Society of Republic of China Award (2001)

Grants
     
Ministry of Science and Technology Grant for Excellent Young Researcher  103-2628-H-001-001-MY4 (2014-2018)
      National Science Council Grant
101-2410-H-001-109-MY2 (2012-2014)

Teaching Experience
     
Instructor, University of Missouri at Columbia, Department of Economics.
            
Advanced Topics in Econometrics I (graduate)Fall 2011
             Introduction to Econometrics (undergraduate), Spring 2011
             Econometrics Method I (graduate), Spring 2011
      Instructor, University of Texas at Austin, Department of Economics.
              Math Camp, Summer 2006, Summer 2008, Summer 2009.
      Teaching assistant, University of Texas at Austin, Department of Economics.
              Advanced Econometrics II: Panel Data, Spring 2009.
              Advanced Econometrics II: Time Series Econometrics, Spring 2008, Fall 2008
              Econometrics II, Fall 2006, Fall 2007.
              Econometrics I, Spring 2006.
              Probability and Statistics, Fall 2005.
              Undergraduate Statistics, Spring 2004, Fall 2005.
      Teaching assistant, National Taiwan University, Department of Economics.
              Undergraduate Statistics, Fall 2000, Spring 2001, Fall 2001, Spring 2002.

Research Experience
      Research assistant, University of Texas at Austin, Department of Economics.
              for Stephen G. Donald, Daniel S. Hamermesh and Yingyao Hu,  Spring 2007.
      Research assistant, Academia Sinica, Institute of Economics.
              for Chung-Ming Kuan, 01/2004~06/2004.

Referee for
      Annals of Statistics, Economic Inquiry, Emerging Markets Finance and Trade,
      Econometric Reviews, Econometric Theory,
Economics Bulletin,
      European Journal of Operational Research,
International Economic Review,
      International Journal of Forecasting, Journal of Applied Econometrics,
      Journal of Business and Economic Statistics, Journal of Econometric Methods,
      Journal of Econometrics, Pacific Economic Review,
Mathematics and Computers
      Simulation,
Oxford Bulletin of Economics and Statistics, Review of Economics and
      Statistics, Statistics and Probability Letters


Publications

  1. "Change-point Estimation of Nonstationary I(d) Process,"  Economics Letters, 98, 115-121, 2008. (joint with Chung-Ming Kuan) [link]

  2. "Assessing Value at Risk with CARE, the Conditional AutoRegressive Expectile Models,"  Journal of Econometrics, 150, 261-270, 2009 (joint with Chung-Ming Kuan and Jin-Huei Yeh). [link]

  3. "Testing the Predictive Ability of Technical Analysis Using A New Stepwise Test without Data Snooping Bias,"  Journal of Empirical Finance, 17, 471-484, 2010. (joint with Po-Hsuan Hsu and Chung-Ming Kuan) [link]

  4. "A New Test for Linear Inequality Constraints When the Variance Covariance Matrix Depends on the Unknown Parameters," Economics Letters, 113, 241-243, 2011 (joint with Stephen G. Donald). [link]

  5. "Incorporating Covariates in the Measurement of Welfare and Inequality: Methods and Applications," Econometrics Journal, 15, C1-C30. 2012 (joint with Stephen G. Donald and Garry F. Barrett). [link] [supplement]

  6. "Cyclical Co-movement between Output, the Price Level, and Inflation," in Dek Terrell, Daniel Millimet (ed.) 30th Anniversary Edition (Advances in Econometrics, Volume 30), Emerald Group Publishing Limited, 359-384, 2012 (joint with Joseph H. Haslag). [link]

  7. "Estimation and Inference for Distribution Functions and Quantile Functions in Treatment Effect Models," Journal of Econometrics, 178, 383-397, 2014 (joint with Stephen G. Donald). [link]
    A previous version was circulated under the title "Testing for Stochastic Dominance in Treatment Effects."

  8. "Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix," Journal of Econometrics, 181, 181-193, 2014 (joint with Wei-Ming Lee and Chung-Ming Kuan). [link] [supplement]

  9. "Testing the Unconfoundedness Assumption via Inverse Probability Weighted Estimators of (L)ATT," Journal of Business and Economic Statistics, 32, 395-415, 2014 (joint with Stephen G. Donald and Robert P. Lieli). [link[supplement]
    This paper contains partial results of a paper which was previously circulated under the title "Inverse Propensity Score Weighted Estimation of Local Average Treatment Effects and a Test of the Unconfoudedness Assumption."


  10. "A Generalized Stepwise Procedure with Improved Power for Multiple Inequalities Testing," Journal of Financial Econometrics, 12, pp. 730-755, 2014  (joint with Chung-Ming Kuan and Meng-Feng Yen). [link]

  11. "Inverse Probability Weighted Estimation of Local Average Treatment Effects: A Higher Order MSE Expansion," Statistics and Probability Letters, 95, 132-138, 2014 (joint with Stephen G. Donald and Robert P. Lieli). [link] [supplement]
    This paper contains partial results of a paper which was previously circulated under the title "Inverse Propensity Score Weighted Estimation of Local Average Treatment Effects and a Test of the Unconfoudedness Assumption."


  12. "Robust Hypothesis Tests for M-Estimators with Possibly Non-differentiable Estimating Functions," Econometrics Journal, 18, 95-116, 2015 (joint with Wei-Ming Lee and Chung-Ming Kuan). [link]

  13. "Trend Definition or Holding Strategy: What Determines the Profitability of Candlestick Charting?" Journal of Banking and Finance, 61,172-183, 2015  (joint with Yi-Chi Chen and Tsung-Hsun Lu). [link]

  14. "Estimating Conditional Average Treatment Effects," Journal of Business and Economic Statistics, 33, 485-505,  2015 (joint with Jason Abrevaya and  Robert P. Lieli). [link]

  15. "Improving the Power of Tests of Stochastic Dominance," Econometric Reviews, 35, 553-585, 2016 (joint with Stephen G. Donald). [link]

  16. "Consistent Tests for Poverty Dominance Relations," Journal of Econometrics, 191, 360-373, 2016 (joint with Garry F. Barrett and Stephen G. Donald). [link]

  17. "Consistent Tests for Conditional Treatment Effects," Econometrics Journal, 20, 1-22, 2017. [link] [supplement]

  18. "Model Selection Tests for Conditional Moment Restriction Models," Econometrics Journal, 20, 52-85, 2017 (joint with Xiaoxia Shi). [link]

  19. "Analyzing the Performance of Multi-Factor Investment Strategies under Multiple Testing Framework," Journal of Portfolio Management, , 2018 (joint with Kendro Vincent and Hsiou-Wei Lin). [link] [on-line supplement]

  20. "Nonparametric Estimation of Natural Direct and Indirect Effects Based on Inverse Probability Weighting," forthcoming in Journal of Econometric Methods, 2018 (joint with Martin Huber and Tsung-Chih Lai). [pdf] [updated on March 18, 2018]

  21. "A Stochastic Frontier Model with Endogenous Treatment Status and Mediator," forthcoming in Journal of Business and Economic Statistics, 2018 (joint with Yi-Ting Chen and Hung-Jen Wang). [pdf] [updated on March 4, 2017]

Working Papers

  1. "Estimation of Partial Effects in Non-linear Panel Data Models," (joint with Jason Abrevaya). [pdf] [under major revision, new version coming soon]
  2. "Quantile Structural Treatment Effect: Application to Smoking Wage Penalty and its Determinants," (joint with Kamhon Kan and Tsung-Chih Lai). [pdf] [updated on March 1, 2018]
    A previous version was circulated under the title "Distribution and Quantile Structural Functions in Treatment Effect Models: Application to Smoking Effects on Wages."

  3. "Estimation and Inference for Distribution Functions and Quantile Functions in Endogenous Treatment Effect Models," (joint with Tsung-Chih Lai and Robert P. Lieli). [pdf]

  4. "Testing Treatment Effect Heterogeneity in Regression Discontinuity Design," (joint with Shu Shen). [pdf] [updated on May 1, 2017]

  5. "Multiplier Bootstrap for Empirical Processes." [pdf] [updated on September 4, 2016]

  6. "Can Investing in Hedge Funds Improve Efficiency for Economically Important Investors?" (joint with Rachel J. Huang, Larry Y. Tzeng, Christine W. Wang). [pdf]

  7. "Using the Estimated AUC to Test the Adequacy of Binary Predictors," (joint with Robert P. Lieli). [pdf]

  8. "The Null Distribution of the Empirical AUC for Classifiers with Estimated Parameters: a Special Case," (joint with Robert P. Lieli). [pdf] [updated on June 22, 2017]

  9. "Testing Generalized Regression Monotonicity," (joint with Chu-An Liu and Xiaoxia Shi). [pdf] [updated on January 18, 2018]

  10. "Testing Unobserved Heterogeneity of Individual Treatment Effects with Endogenous Treatment," (joint with Ta-Cheng Huang and Haiqing Xu). [link] [uploaded on Frbruary 8, 2018]

  11. "Investment Styles and the Multiple Testing of Cross-Sectional Stock Return Predictability,(joint with Hsiou-Wei Lin and Kendro Vincent).  [pdf] [updated on December 16, 2016]

  12. "Nonlinear Panel Data Models with Distribution-Free Correlated Random Effects," (joint with Ji-Liang Shiu). [pdf] [updated on January 14, 2018]
    A previous version was circulated under the title "Internally Consistent Estimation of Nonlinear Panel Data Models with Correlated Random Effects."

  13. "Estimation and Inference for Counterfactual Treatment Effects," (joint with Tsung-Chih Lai and Robert P. Lieli). [pdf]
    A previous version was circulated under the title "
    Forecasting Treatment Effects".

  14. "Two-step Series Estimation and Specification Testing of (Partially) Linear Models with Nonparametrically Generated Regressors," (joint with Jen-Che Liao and Eric S. Lin). [pdf]

  15. "Robust Uniform Inference for Quantile Treatment Effects in Regression Discontinuity Designs," (joint with Harold D. Chiang and Yuya Sasaki). [link]

  16. "Monotonicity Test for Local Average Treatment Effects under Regression Discontinuity," (joint with Shu Shen). [pdf] [updated on July 17, 2018]

  17. "Quantile Treatment Effects in Regression Discontinuity Designs with Covariates," (joint with Chung-Ming Kuan and Giorgio Teng-Yu Lo). [pdf]

  18. "Testing Identifying Assumptions in Fuzzy Regression Discontinuity Designs," (with Yoichi Arai, Toru Kitagawa, Ismael Mourifie and Yuanyuan Wan). [Coming soon]

  19. "Estimating Treatment Effects in Regression Discontinuity Designs with Multiple Assignment Variables," (joint with Chung-Ming Kuan and Giorgio Teng-Yu Lo). [Coming soon]

  20. "Direct and Indirect Effects of Continuous Treatments Based on Generalized Propensity Score Weighting," (joint with Martin Huber, Ying-Ying Lee and Layal Pipoz). [pdf]
 Work in Progress
  1. "Inference for ROC Curves Based on Estimated Predictive Indices," (joint with Robert P. Lieli).

  2. "Inference for Varying Coefficient Models with Partial Identification," (joint with Shengjie Hong and Yuanyuan Wan).

  3. "Expectile Curves without Crossing," (joint with Mengmeng Guo and Zaichao Du).

  4. "Direct and Indirect Treatment Effects in Regression Discontinuity Models," (joint with Ying-Ying Lee and Shu Shen).

  5. "Lack of Identification Diagnostics in GMM Contexts," (joint with Stephen G. Donald and Shu Shen).

  6. "Endogeneity in Semiparametric Nonseparable Models without Monotonicity," (joint with Ji-Liang Shiu and Xun Tang).

  7. "Profile Likelihood Estimators for Panel Data Single Index Models," (joint with Ji-Liang Shiu).

  8. "Testing Treatment Effect Monotonicity under Unconfoundedness Assumption," (joint with Tsung-Chih Lai and Jen-Che Liao).

  9. "Testing Treatment Effect Monotonicity in Continuous Treatment Effects Models," (joint with Martin Huber, Ying-Ying Lee and Chu-An Liu).

  10. "Robust Tests for Symmetry with Weakly Dependent Data," (joint with Wei-Ming Lee and Chung-Ming Kuan).

  11. "Note on Sample Selection Models with Bivariate Selection Rules," (joint with Keng-Yu Ho and Jen-Che Liao).

  12. "Estimating Conditional Average Treatment with High-Dimensional Data" (joint with Qingliang Fan, Robert P. Lieli and Yichong Zhang).

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