Publications

  1. "Change-point Estimation of Nonstationary I(d) Process,"  Economics Letters, 98, pp. 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, pp. 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, pp. 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, pp. 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, pp. 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, pp.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, 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]

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. "A Stochastic Frontier Model with an Endogenous Treatment Status and a Mediator," (joint with Yi-Ting Chen and Hung-Jen Wang). [pdf] [updated on March 4, 2017]

  3. "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."

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

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

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

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

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

  9. "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]

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

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

  12. "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]

  13. "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."

  14. "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".

  15. "Two-Step Series Estimation of Semiparametric Model and Specification Test with Generated Regressors," (joint with Jen-Che Liao and Eric S. Lin). [pdf]

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

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

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

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

  20. "Estimating Treatment Effects in Regression Discontinuity Designs with Multiple Assignment Variables," (joint with Chung-Ming Kuan and Giorgio Teng-Yu Lo). [Coming soon]
 Work in Progress
  1. "Inference for ROC Curves Based on Estimated Predictive Indices," (joint with Robert P. Lieli).

  2. "Nonparametric Inference for Partially Identified Parameters in Moment Inequality Models," (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).

  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. "Assessing Direct and Indirect Effects of Continuous Treatments Based on Generalized Propensity Score Weighting," (joint with Martin Huber, Ying-Ying Lee and Layal Pipoz).

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

Make a free website with Yola