Alexei Onatski an assistant professor of Economics at Columbia University CV

Fields of interest: Econometrics, Large Random Matrices, High-dimensional Factor Models, Monetary Policy, Macroeconomics, Robust Control, Functional Data, Dynamic Systems, Rational Expectations

Columbia’s Econometrics Lunch Seminar

Columbia’s Econometrics Seminar

 

My research:

1.      Work on Factor Models

1.1.   Asymptotics of the principal components estimator of large factor models with weak factors (2009 version)

1.1.1.      Technical Appendix

1.2.   Testing hypotheses about the number of factors in large factor models (2009 version) To appear in Econometrica.

1.2.1.      Technical Appendix

1.2.2.      A matlab code with the dynamic and static factors tests

1.3.   Determining the number of factors form empirical distribution of eigenvalues (2009 version) To appear in the Review of Economics and Statistics

1.3.1.      Technical Appendix (2009 version)

1.3.2.      A matlab code with the estimator of the number of factors

1.4.   Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices.  Annals of Applied Probability 18, pp.470-490 (2008)

2.      Work on high-dimensional or long VARs

2.1.   Unit roots in white noise Joint with Harald Uhlig. (March 2009 version)

2.2.   Curve forecasting by functional auto-regression Joint with Vladislav Karguine. Journal of Multivariate Analysis, 99, Issue 10, pp. 2508-2526 (2008)

2.3.    Winding Number Criterion for Existence and Uniqueness of Equilibrium in Linear Rational Expectations Models June 3, 2004 version. The most recent version is published in Journal of Economic Dynamics and Control (2006), Vol 30, pp.323-345.

3.      Work on Robustness and Model Uncertainty

3.1.   An article on Model Uncertainty for new Palgrave Dictionary of Economics

3.2.   Monetary policy under uncertainty in micro-founded macroeconometric models, Joint with Andrew Levin, John Williams and Noah Williams. The most recent version is published in Macroeconomics Annual 2005, pp229-289

3.3.   Empirical and Policy Performance of a Forward-Looking Monetary Model Joint with Noah Williams.

3.4.   Modeling Model Uncertainty Joint with Noah Williams. A working paper version. The most recent can be read in Journal of European Economic Association Vol. 1, No. 5

3.5.   Robust Monetary Policy under Model Uncertainty: Incorporating Rational Expectations

3.6.   Minimax Analysis of Model Uncertainty: Comparison to Bayesian Approach, Worst Possible Economies, and Optimal Robust Monetary Policies

3.7.   "Robust Monetary Policy under Model Uncertainty in a Small Model of the US Economy" Joint with James Stock Macroeconomic Dynamics, Vol. 6, No. 1.

4.      Work on other staff

4.1.   Testing Shape Restrictions on the Steady-State Distribution of a Finite Markov Chain

4.2.   "Searching for Prosperity" Joint with Michael Kremer and James Stock Carnegie-Rochester Conference Series on Public Policy Vol. 55, December