Details about Alexei Onatski

Access statistics for papers by Alexei Onatski.

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

Short-id: pon27

Working Papers

2020

1. Spurious Factor Analysis
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
   See also Journal Article Spurious Factor Analysis, Econometrica, Econometric Society (2021) View citations (11) (2021)

2018

2. 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 (3)
3. Extreme canonical correlations and high-dimensional cointegration analysis
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   See also Journal Article Extreme canonical correlations and high-dimensional cointegration analysis, Journal of Econometrics, Elsevier (2019) View citations (9) (2019)
4. Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
5. Testing in High-Dimensional Spiked Models
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)

2016

6. 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 Alternative Asymptotics for Cointegration Tests in Large VARs, Econometrica, Econometric Society (2018) View citations (27) (2018)

2013

7. 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

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

2011

9. Asymptotic Power of Sphericity Tests for High-Dimensional Data
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (29)
10. Set Coverage and Robust Policy
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
    Also in CIRANO Working Papers, CIRANO (2011) View citations (1)
    See also Journal Article Set coverage and robust policy, Economics Letters, Elsevier (2012) View citations (7) (2012)

2010

11. Factor Analysis of a Large DSGE Model
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2010)
    Working Paper series, Rimini Centre for Economic Analysis (2010)
    See also Journal Article FACTOR ANALYSIS OF A LARGE DSGE MODEL, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (2) (2013)

2009

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

2005

13. Curve Forecasting by Functional Autoregression
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (3)
    See also Journal Article Curve forecasting by functional autoregression, Journal of Multivariate Analysis, Elsevier (2008) View citations (55) (2008)
14. Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (340)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2005) View citations (111)
    See also Chapter Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models, NBER Chapters, National Bureau of Economic Research, Inc (2006) View citations (179) (2006)

2004

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

2003

16. Modeling Model Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (164)
    Also in Working Paper Series, European Central Bank (2002) View citations (3)
    See also Journal Article Modeling Model Uncertainty, Journal of the European Economic Association, MIT Press (2003) View citations (162) (2003)
17. Robust Monetary Policy Rules for the Short and Long Run
    Computing in Economics and Finance 2003, Society for Computational Economics

2001

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

2000

19. Minimax Analysis of Monetary Policy Under Model Uncertainty
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (6)
20. 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 ROBUST MONETARY POLICY UNDER MODEL UNCERTAINTY IN A SMALL MODEL OF THE U.S. ECONOMY, Macroeconomic Dynamics, Cambridge University Press (2002) View citations (198) (2002)

Journal Articles

2021

1. Spurious Factor Analysis
   Econometrica, 2021, 89, (2), 591-614 View citations (11)
   See also Working Paper Spurious Factor Analysis, Cambridge Working Papers in Economics (2020) View citations (3) (2020)

2019

2. Extreme canonical correlations and high-dimensional cointegration analysis
   Journal of Econometrics, 2019, 212, (1), 307-322 View citations (9)
   See also Working Paper Extreme canonical correlations and high-dimensional cointegration analysis, Cambridge Working Papers in Economics (2018) (2018)

2018

3. Alternative Asymptotics for Cointegration Tests in Large VARs
   Econometrica, 2018, 86, (4), 1465-1478 View citations (27)
   See also Working Paper Alternative Asymptotics for Cointegration Tests in Large VARs, Cambridge Working Papers in Economics (2016) View citations (2) (2016)

2015

4. Asymptotic analysis of the squared estimation error in misspecified factor models
   Journal of Econometrics, 2015, 186, (2), 388-406 View citations (22)

2013

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

2012

6. Asymptotics of the principal components estimator of large factor models with weakly influential factors
   Journal of Econometrics, 2012, 168, (2), 244-258 View citations (144)
7. Set coverage and robust policy
   Economics Letters, 2012, 115, (2), 256-257 View citations (7)
   See also Working Paper Set Coverage and Robust Policy, CIRJE F-Series (2011) View citations (1) (2011)
8. UNIT ROOTS IN WHITE NOISE
   Econometric Theory, 2012, 28, (3), 485-508 View citations (4)
   See also Working Paper Unit Roots in White Noise, MPRA Paper (2009) (2009)

2010

9. Determining the Number of Factors from Empirical Distribution of Eigenvalues
   The Review of Economics and Statistics, 2010, 92, (4), 1004-1016 View citations (380)
10. Empirical and policy performance of a forward-looking monetary model
    Journal of Applied Econometrics, 2010, 25, (1), 145-176 View citations (24)
    Also in Journal of Applied Econometrics, 2010, 25, (1), 145-176 (2010) View citations (2)
    Proceedings, 2004, (Mar) (2004) View citations (50)

2009

11. Testing Hypotheses About the Number of Factors in Large Factor Models
    Econometrica, 2009, 77, (5), 1447-1479 View citations (246)

2008

12. Curve forecasting by functional autoregression
    Journal of Multivariate Analysis, 2008, 99, (10), 2508-2526 View citations (55)
    See also Working Paper Curve Forecasting by Functional Autoregression, Computing in Economics and Finance 2005 (2005) View citations (3) (2005)

2006

13. 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 (25)

2003

14. Modeling Model Uncertainty
    Journal of the European Economic Association, 2003, 1, (5), 1087-1122 View citations (162)
    See also Working Paper Modeling Model Uncertainty, NBER Working Papers (2003) View citations (164) (2003)

2002

15. ROBUST MONETARY POLICY UNDER MODEL UNCERTAINTY IN A SMALL MODEL OF THE U.S. ECONOMY
    Macroeconomic Dynamics, 2002, 6, (1), 85-110 View citations (198)
    Also in Proceedings, 1999 (1999) View citations (88)
    See also Working Paper Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy, NBER Working Papers (2000) View citations (43) (2000)

2001

16. Searching for prosperity
    Carnegie-Rochester Conference Series on Public Policy, 2001, 55, (1), 275-303 View citations (100)
    See also Working Paper Searching for Prosperity, NBER Working Papers (2001) 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 View citations (179)
   See also Working Paper Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models, National Bureau of Economic Research, Inc (2005) View citations (340) (2005)