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Details about Alexei Onatski

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Workplace:Faculty of Economics, University of Cambridge, (more information at EDIRC)

Access statistics for papers by Alexei Onatski.

Last updated 2021-04-19. Update your information in the RePEc Author Service.

Short-id: pon27


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Working Papers

2020

  1. Spurious Factor Analysis
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (3)
    See also Journal Article Spurious Factor Analysis, Econometrica, Econometric Society (2021) Downloads View citations (4) (2021)

2018

  1. Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (3)
  2. Extreme canonical correlations and high-dimensional cointegration analysis
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    See also Journal Article Extreme canonical correlations and high-dimensional cointegration analysis, Journal of Econometrics, Elsevier (2019) Downloads View citations (7) (2019)
  3. Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
  4. Testing in High-Dimensional Spiked Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (1)

2016

  1. Alternative Asymptotics for Cointegration Tests in Large VARs
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)
    See also Journal Article Alternative Asymptotics for Cointegration Tests in Large VARs, Econometrica, Econometric Society (2018) Downloads View citations (20) (2018)

2013

  1. Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2012

  1. Signal Detection in High Dmension: The Multispiked Case
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (6)

2011

  1. Asymptotic Power of Sphericity Tests for High-Dimensional Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (29)
  2. Set Coverage and Robust Policy
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
    Also in CIRANO Working Papers, CIRANO (2011) Downloads View citations (1)

    See also Journal Article Set coverage and robust policy, Economics Letters, Elsevier (2012) Downloads View citations (7) (2012)

2010

  1. Factor Analysis of a Large DSGE Model
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2010) Downloads
    Working Paper series, Rimini Centre for Economic Analysis (2010) Downloads

    See also Journal Article FACTOR ANALYSIS OF A LARGE DSGE MODEL, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) Downloads View citations (2) (2013)

2009

  1. Unit Roots in White Noise
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article UNIT ROOTS IN WHITE NOISE, Econometric Theory, Cambridge University Press (2012) Downloads View citations (4) (2012)

2005

  1. Curve Forecasting by Functional Autoregression
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads View citations (3)
    See also Journal Article Curve forecasting by functional autoregression, Journal of Multivariate Analysis, Elsevier (2008) Downloads View citations (54) (2008)
  2. Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (336)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2005) Downloads View citations (108)

    See also Chapter Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models, NBER Chapters, National Bureau of Economic Research, Inc (2006) Downloads View citations (179) (2006)

2004

  1. Dynamics of Interest Rate Curve by Functional Auto-Regression
    Macroeconomics, University Library of Munich, Germany Downloads View citations (1)
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) Downloads View citations (1)

2003

  1. Modeling Model Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (163)
    Also in Working Paper Series, European Central Bank (2002) Downloads View citations (3)

    See also Journal Article Modeling Model Uncertainty, Journal of the European Economic Association, MIT Press (2003) Downloads View citations (161) (2003)
  2. Robust Monetary Policy Rules for the Short and Long Run
    Computing in Economics and Finance 2003, Society for Computational Economics

2001

  1. Searching for Prosperity
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (101)
    See also Journal Article Searching for prosperity, Carnegie-Rochester Conference Series on Public Policy, Elsevier (2001) Downloads View citations (100) (2001)

2000

  1. Minimax Analysis of Monetary Policy Under Model Uncertainty
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (6)
  2. Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (43)
    See also Journal Article ROBUST MONETARY POLICY UNDER MODEL UNCERTAINTY IN A SMALL MODEL OF THE U.S. ECONOMY, Macroeconomic Dynamics, Cambridge University Press (2002) Downloads View citations (197) (2002)

Journal Articles

2021

  1. Spurious Factor Analysis
    Econometrica, 2021, 89, (2), 591-614 Downloads View citations (4)
    See also Working Paper Spurious Factor Analysis, Cambridge Working Papers in Economics (2020) Downloads View citations (3) (2020)

2019

  1. Extreme canonical correlations and high-dimensional cointegration analysis
    Journal of Econometrics, 2019, 212, (1), 307-322 Downloads View citations (7)
    See also Working Paper Extreme canonical correlations and high-dimensional cointegration analysis, Cambridge Working Papers in Economics (2018) Downloads (2018)

2018

  1. Alternative Asymptotics for Cointegration Tests in Large VARs
    Econometrica, 2018, 86, (4), 1465-1478 Downloads View citations (20)
    See also Working Paper Alternative Asymptotics for Cointegration Tests in Large VARs, Cambridge Working Papers in Economics (2016) Downloads View citations (2) (2016)

2015

  1. Asymptotic analysis of the squared estimation error in misspecified factor models
    Journal of Econometrics, 2015, 186, (2), 388-406 Downloads View citations (21)

2013

  1. FACTOR ANALYSIS OF A LARGE DSGE MODEL
    Journal of Applied Econometrics, 2013, 28, (6), 903-928 Downloads View citations (2)
    See also Working Paper Factor Analysis of a Large DSGE Model, Cahiers de recherche (2010) Downloads (2010)

2012

  1. Asymptotics of the principal components estimator of large factor models with weakly influential factors
    Journal of Econometrics, 2012, 168, (2), 244-258 Downloads View citations (126)
  2. Set coverage and robust policy
    Economics Letters, 2012, 115, (2), 256-257 Downloads View citations (7)
    See also Working Paper Set Coverage and Robust Policy, CIRJE F-Series (2011) Downloads View citations (1) (2011)
  3. UNIT ROOTS IN WHITE NOISE
    Econometric Theory, 2012, 28, (3), 485-508 Downloads View citations (4)
    See also Working Paper Unit Roots in White Noise, MPRA Paper (2009) Downloads (2009)

2010

  1. Determining the Number of Factors from Empirical Distribution of Eigenvalues
    The Review of Economics and Statistics, 2010, 92, (4), 1004-1016 Downloads View citations (345)
  2. Empirical and policy performance of a forward-looking monetary model
    Journal of Applied Econometrics, 2010, 25, (1), 145-176 Downloads View citations (24)
    Also in Journal of Applied Econometrics, 2010, 25, (1), 145-176 (2010) Downloads View citations (2)
    Proceedings, 2004, (Mar) (2004) Downloads View citations (47)

2009

  1. Testing Hypotheses About the Number of Factors in Large Factor Models
    Econometrica, 2009, 77, (5), 1447-1479 Downloads View citations (231)

2008

  1. Curve forecasting by functional autoregression
    Journal of Multivariate Analysis, 2008, 99, (10), 2508-2526 Downloads View citations (54)
    See also Working Paper Curve Forecasting by Functional Autoregression, Computing in Economics and Finance 2005 (2005) Downloads View citations (3) (2005)

2006

  1. Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models
    Journal of Economic Dynamics and Control, 2006, 30, (2), 323-345 Downloads View citations (24)

2003

  1. Modeling Model Uncertainty
    Journal of the European Economic Association, 2003, 1, (5), 1087-1122 Downloads View citations (161)
    See also Working Paper Modeling Model Uncertainty, NBER Working Papers (2003) Downloads View citations (163) (2003)

2002

  1. ROBUST MONETARY POLICY UNDER MODEL UNCERTAINTY IN A SMALL MODEL OF THE U.S. ECONOMY
    Macroeconomic Dynamics, 2002, 6, (1), 85-110 Downloads View citations (197)
    Also in Proceedings, 1999 (1999) View citations (93)

    See also Working Paper Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy, NBER Working Papers (2000) Downloads View citations (43) (2000)

2001

  1. Searching for prosperity
    Carnegie-Rochester Conference Series on Public Policy, 2001, 55, (1), 275-303 Downloads View citations (100)
    See also Working Paper Searching for Prosperity, NBER Working Papers (2001) Downloads View citations (101) (2001)

Chapters

2006

  1. Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models
    A chapter in NBER Macroeconomics Annual 2005, Volume 20, 2006, pp 229-312 Downloads View citations (179)
    See also Working Paper Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models, National Bureau of Economic Research, Inc (2005) Downloads View citations (336) (2005)
 
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