Details about Alexei Onatski
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Short-id: pon27
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Working Papers
2020
- Spurious Factor Analysis
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
See also Journal Article in Econometrica (2021)
2018
- 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 View citations (1)
- Extreme canonical correlations and high-dimensional cointegration analysis
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 
See also Journal Article in Journal of Econometrics (2019)
- Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
- Testing in High-Dimensional Spiked Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
2016
- 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
- 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
- Signal Detection in High Dmension: The Multispiked Case
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (6)
2011
- Asymptotic Power of Sphericity Tests for High-Dimensional Data
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (29)
- 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
- Factor Analysis of a Large DSGE Model
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 
Also in Working Paper series, Rimini Centre for Economic Analysis (2010)  Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2010) 
See also Journal Article in Journal of Applied Econometrics (2013)
2009
- Unit Roots in White Noise
MPRA Paper, University Library of Munich, Germany 
See also Journal Article in Econometric Theory (2012)
2005
- 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)
- Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (296)
Also in Working Paper Series, Federal Reserve Bank of San Francisco (2005) View citations (100)
See also Chapter (2006)
2004
- 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
- Modeling Model Uncertainty
NBER Working Papers, National Bureau of Economic Research, Inc View citations (154)
Also in Working Paper Series, European Central Bank (2002) View citations (3)
See also Journal Article in Journal of the European Economic Association (2003)
- Robust Monetary Policy Rules for the Short and Long Run
Computing in Economics and Finance 2003, Society for Computational Economics
2001
- Searching for Prosperity
NBER Working Papers, National Bureau of Economic Research, Inc View citations (101)
See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (2001)
2000
- Minimax Analysis of Monetary Policy Under Model Uncertainty
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (5)
- 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 (43)
See also Journal Article in Macroeconomic Dynamics (2002)
Journal Articles
2021
- Spurious Factor Analysis
Econometrica, 2021, 89, (2), 591-614 View citations (1)
See also Working Paper (2020)
2019
- Extreme canonical correlations and high-dimensional cointegration analysis
Journal of Econometrics, 2019, 212, (1), 307-322 View citations (5)
See also Working Paper (2018)
2018
- Alternative Asymptotics for Cointegration Tests in Large VARs
Econometrica, 2018, 86, (4), 1465-1478 View citations (14)
See also Working Paper (2016)
2015
- Asymptotic analysis of the squared estimation error in misspecified factor models
Journal of Econometrics, 2015, 186, (2), 388-406 View citations (15)
2013
- FACTOR ANALYSIS OF A LARGE DSGE MODEL
Journal of Applied Econometrics, 2013, 28, (6), 903-928 View citations (1)
See also Working Paper (2010)
2012
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
Journal of Econometrics, 2012, 168, (2), 244-258 View citations (98)
- Set coverage and robust policy
Economics Letters, 2012, 115, (2), 256-257 View citations (7)
See also Working Paper (2011)
- UNIT ROOTS IN WHITE NOISE
Econometric Theory, 2012, 28, (3), 485-508 View citations (3)
See also Working Paper (2009)
2010
- Determining the Number of Factors from Empirical Distribution of Eigenvalues
The Review of Economics and Statistics, 2010, 92, (4), 1004-1016 View citations (274)
- Empirical and policy performance of a forward-looking monetary model
Journal of Applied Econometrics, 2010, 25, (1), 145-176 View citations (24)
Also in Proceedings, 2004, (Mar) (2004) View citations (47) Journal of Applied Econometrics, 2010, 25, (1), 145-176 (2010) View citations (2)
2009
- Testing Hypotheses About the Number of Factors in Large Factor Models
Econometrica, 2009, 77, (5), 1447-1479 View citations (195)
2008
- Curve forecasting by functional autoregression
Journal of Multivariate Analysis, 2008, 99, (10), 2508-2526 View citations (50)
See also Working Paper (2005)
2006
- 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 (21)
2003
- Modeling Model Uncertainty
Journal of the European Economic Association, 2003, 1, (5), 1087-1122 View citations (151)
See also Working Paper (2003)
2002
- ROBUST MONETARY POLICY UNDER MODEL UNCERTAINTY IN A SMALL MODEL OF THE U.S. ECONOMY
Macroeconomic Dynamics, 2002, 6, (1), 85-110 View citations (106)
Also in Proceedings, 1999 (1999) View citations (93)
See also Working Paper (2000)
2001
- Searching for prosperity
Carnegie-Rochester Conference Series on Public Policy, 2001, 55, (1), 275-303 View citations (95)
See also Working Paper (2001)
Chapters
2006
- Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models
A chapter in NBER Macroeconomics Annual 2005, Volume 20, 2006, pp 229-312 View citations (175)
See also Working Paper (2005)
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