Details about Alexei Onatski

Access statistics for papers by Alexei Onatski.

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Short-id: pon27

Working Papers

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
2. Extreme canonical correlations and high-dimensional cointegration analysis
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
3. Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
4. Testing in High-Dimensional Spiked Models
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

2016

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

2013

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

2012

7. Signal Detection in High Dmension: The Multispiked Case
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (3)

2011

8. Asymptotic Power of Sphericity Tests for High-Dimensional Data
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (17)
9. Set Coverage and Robust Policy
   CIRANO Working Papers, CIRANO View citations (1)
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2011) View citations (1)
   See also Journal Article in Economics Letters (2012)

2010

10. Factor Analysis of a Large DSGE Model
    Working Paper series, Rimini Centre for Economic Analysis
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2010)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2010)
    See also Journal Article in Journal of Applied Econometrics (2013)

2009

11. Unit Roots in White Noise
    MPRA Paper, University Library of Munich, Germany
    Also in Working Papers, Becker Friedman Institute for Research In Economics (2009)
    See also Journal Article in Econometric Theory (2012)

2005

12. Curve Forecasting by Functional Autoregression
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (1)
    See also Journal Article in Journal of Multivariate Analysis (2008)
13. Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (173)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2005) View citations (91)
    See also Chapter (2006)

2004

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

2003

15. Modeling Model Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (136)
    Also in Working Paper Series, European Central Bank (2002) View citations (2)
    See also Journal Article in Journal of the European Economic Association (2003)
16. Robust Monetary Policy Rules for the Short and Long Run
    Computing in Economics and Finance 2003, Society for Computational Economics

2001

17. Searching for Prosperity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (72)
    See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (2001)

2000

18. Minimax Analysis of Monetary Policy Under Model Uncertainty
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (5)
19. Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)
    See also Journal Article in Macroeconomic Dynamics (2002)

Journal Articles

2018

1. Alternative Asymptotics for Cointegration Tests in Large VARs
   Econometrica, 2018, 86, (4), 1465-1478 View citations (6)
   See also Working Paper (2016)

2015

2. Asymptotic analysis of the squared estimation error in misspecified factor models
   Journal of Econometrics, 2015, 186, (2), 388-406 View citations (5)

2013

3. FACTOR ANALYSIS OF A LARGE DSGE MODEL
   Journal of Applied Econometrics, 2013, 28, (6), 903-928
   See also Working Paper (2010)

2012

4. Asymptotics of the principal components estimator of large factor models with weakly influential factors
   Journal of Econometrics, 2012, 168, (2), 244-258 View citations (58)
5. Set coverage and robust policy
   Economics Letters, 2012, 115, (2), 256-257 View citations (4)
   See also Working Paper (2011)
6. UNIT ROOTS IN WHITE NOISE
   Econometric Theory, 2012, 28, (03), 485-508 View citations (2)
   See also Working Paper (2009)

2010

7. Determining the Number of Factors from Empirical Distribution of Eigenvalues
   The Review of Economics and Statistics, 2010, 92, (4), 1004-1016 View citations (160)
8. Empirical and policy performance of a forward-looking monetary model
   Journal of Applied Econometrics, 2010, 25, (1), 145-176 View citations (17)
   Also in Proceedings, 2004, (Mar) (2004) View citations (46)

2009

9. Testing Hypotheses About the Number of Factors in Large Factor Models
   Econometrica, 2009, 77, (5), 1447-1479 View citations (124)

2008

10. Curve forecasting by functional autoregression
    Journal of Multivariate Analysis, 2008, 99, (10), 2508-2526 View citations (35)
    See also Working Paper (2005)

2006

11. 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 View citations (13)

2003

12. Modeling Model Uncertainty
    Journal of the European Economic Association, 2003, 1, (5), 1087-1122 View citations (130)
    See also Working Paper (2003)

2002

13. ROBUST MONETARY POLICY UNDER MODEL UNCERTAINTY IN A SMALL MODEL OF THE U.S. ECONOMY
    Macroeconomic Dynamics, 2002, 6, (01), 85-110 View citations (86)
    Also in Proceedings, 1999 (1999) View citations (93)
    See also Working Paper (2000)

2001

14. Searching for prosperity
    Carnegie-Rochester Conference Series on Public Policy, 2001, 55, (1), 275-303 View citations (55)
    See also Working Paper (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 View citations (117)
   See also Working Paper (2005)