Yu-Chin Hsu's Research

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, 44, 113-126, 2018 (joint with Kendro Vincent and Hsiou-Wei Lin). [link] [on-line supplement]
    
    
20. "Treatment Effect Models: A Brief Review," (in Chinese), Taiwan Economic Review,  46, 501-521, 2018 (joint with Tsung-Chih Lai). [link]
    
    
21. "Using the Area under an Estimated ROC Curve to Test the Adequacy of Binary Predictors," Journal of Nonparametric Statistics, 31, 100-130, 2019 (joint with Robert P. Lieli). [link]
    This article is based on two earlier working papers; one with the same title and one titled "The Null Distribution of the Empirical AUC for Classifiers with Estimated Parameters: a Special Case".
    
    
22. "Nonparametric Estimation of Natural Direct and Indirect Effects Based on Inverse Probability Weighting," Journal of Econometric Methods, 8, 2019 (joint with Martin Huber and Tsung-Chih Lai). [link]
    
    
23. "Testing Treatment Effect Heterogeneity in Regression Discontinuity Design," Journal of Econometrics, 208, 468-486, 2019 (joint with Shu Shen). [link] [supplement]
    
    
24. "Robust Uniform Inference for Quantile Treatment Effects in Regression Discontinuity Designs," Journal of Econometrics, 211, 589-618, 2019 (joint with Harold D. Chiang and Yuya Sasaki). [link]
    
    
25. "Testing Generalized Regression Monotonicity," Econometric Theory, 35, 1146-1200, 2019 (joint with Chu-An Liu and Xiaoxia Shi). [link]
    
    
26. "A Stochastic Frontier Model with Endogenous Treatment Status and Mediator," Journal of Business and Economic Statistics, 38, 243-256, 2020 (joint with Yi-Ting Chen and Hung-Jen Wang). [link]
    
    
27. "Partial Effects in Non-linear Panel Data Models with Correlated Random Effects," Econometrics Journal, 24, 519-535, 2021 (joint with Jason Abrevaya). [link]
    A previous version was circulated under the title "Estimation of Partial Effects in Non-linear Panel Data Models."
    
    
28. "Nonlinear Panel Data Models with Distribution-Free Correlated Random Effects," Econometric Theory, 37, 1075-1099, 2021 (joint with Ji-Liang Shiu). [link]
    A previous version was circulated under the title "Internally Consistent Estimation of Nonlinear Panel Data Models with Correlated Random Effects."
    
    
29. "Investment Styles and the Multiple Testing of Cross-Sectional Stock Return Predictability," Journal of Financial Markets, 56, 2021 (joint with Hsiou-Wei Lin and Kendro Vincent).
    
    
30. "Quantile Structural Treatment Effect: Application to Smoking Wage Penalty and its Determinants," Econometric Reviews, 40, 128-147, 2021 (joint with Kamhon Kan and Tsung-Chih Lai). [link]
    A previous version was circulated under the title "Distribution and Quantile Structural Functions in Treatment Effect Models: Application to Smoking Effects on Wages."
    
    
31. "Counterfactual Treatment Effects: Estimation and Inference," Journal of Business and Economic Statistics, 40, 240-255, 2022 (joint with Tsung-Chih Lai and Robert P. Lieli). [link] [supplement]
    A previous version was circulated under the title "Forecasting Treatment Effects" and "Estimation and Inference for Counterfactual Treatment Effects".
    
    
32. "Estimating Conditional Average Treatment with High-Dimensional Data," Journal of Business and Economic Statistics, 40, 313-327, 2022 (joint with Qingliang Fan, Robert P. Lieli and Yichong Zhang). [link]
    
    
33. "Testing Identifying Assumptions in Fuzzy Regression Discontinuity Designs," Quantitative Economics, 13, 1-28, 2022 (with Yoichi Arai, Toru Kitagawa, Ismael Mourifie and Yuanyuan Wan). [link]
    
    
34. "Estimation and Inference for Distribution Functions and Quantile Functions in Endogenous Treatment Effect Models," Econometric Reviews, 41, 22-50, 2022 (joint with Tsung-Chih Lai and Robert P. Lieli). [link]
    
    
35. "Two-step Series Estimation and Specification Testing of (Partially) Linear Models with Nonparametrically Generated Regressors," Econometric Reviews, 41, 22-50, 2022 (joint with Jen-Che Liao and Eric S. Lin). [link]
    
    
36. "The Use of Machine Learning in Treatment Effect Estimation," In F. Chan and L. Matyas (Eds.) Econometrics with Machine Learning, Advanced Studies in Theoretical and Applied Econometrics, vol 53. 2022, Springer, (joint with Robert P. Lieli and Agoston Reguly).
    
    
37. "Testing Unobserved Heterogeneity of Individual Treatment Effects with Endogenous Treatment," Econometric Theory, 39, 582-622, 2023 (joint with Ta-Cheng Huang and Haiqing Xu). [link]
    
    
38. "Direct and Indirect Effects of Continuous Treatments Based on Generalized Propensity Score Weighting," forthcoming in Journal of Applied Econometrics, (joint with Martin Huber, Ying-Ying Lee and Layal Pipoz). [link]
    
    
39. "Testing Monotonicity of Conditional Treatment Effects under Regression Discontinuity Designs," forthcoming in Journal of Applied Econometrics, (joint with Shu Shen). [link]
    A previous version was circulated under the title "Monotonicity Test for Local Average Treatment Effects under Regression Discontinuity."
    
    
40. "Testing Monotonicity of Mean Potential Outcomes in a Continuous Treatment with High-Dimensional Data," forthcoming in Review of Economics and Statistics, (joint with Martin Huber, Ying-Ying Lee and Chu-An Liu). [link]
    
    
41. "Non-Representative Sample Networks: Estimation of Network Structural Properties by Weighting," forthcoming in Journal of Econometrics, (joint with Chih-Sheng Hsieh, Stanley Ko, Jaromir Kovarik, and Trevon D. Logan). [link]
    
    
42. "Retrieving Almost Stochastic Dominance Momentum in Taiwan Stock Market," forthcoming in Pacific-Basin Finance Journal, (joint with Mi-Hsiu Chiang and Hsin-Yu Chiu).
    
    
43. "Quantile Policy Effects: An Application to U.S. Macroprudential Policy," forthcoming in Journal of Business and Economic Statistics, (joint with Hsin-Yi Lin and Yu-Hsiang Hsiao). [pdf]
    
    
44. "Testing Identification Conditions of LATE in Fuzzy Regression Discontinuity Designs," forthcoming in Journal of Econometrics, (joint with Ji-Liang Shiu and Yuanyuan Wan). [pdf]