Alexei Onatski : Citation Profile


Are you Alexei Onatski?

University of Cambridge

11

H index

13

i10 index

1330

Citations

RESEARCH PRODUCTION:

16

Articles

25

Papers

1

Chapters

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 70
   Journals where Alexei Onatski has often published
   Relations with other researchers
   Recent citing documents: 85.    Total self citations: 13 (0.97 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pon27
   Updated: 2021-04-17    RAS profile: 2019-02-05    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Alexei Onatski.

Is cited by:

Durlauf, Steven (33)

Forni, Mario (32)

Brock, William (31)

Barigozzi, Matteo (30)

Schorfheide, Frank (29)

Wieland, Volker (26)

Lippi, Marco (24)

Kuester, Keith (21)

Del Negro, Marco (20)

Luciani, Matteo (19)

Svensson, Lars (18)

Cites to:

Reichlin, Lucrezia (17)

Hallin, Marc (11)

Forni, Mario (11)

Bai, Jushan (9)

Christiano, Lawrence (9)

Ng, Serena (9)

Giannone, Domenico (9)

Levin, Andrew (9)

Watson, Mark (8)

Lippi, Marco (8)

Williams, John (7)

Main data


Where Alexei Onatski has published?


Journals with more than one article published# docs
Proceedings2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers ECARES / ULB -- Universite Libre de Bruxelles3

Recent works citing Alexei Onatski (2021 and 2020)


YearTitle of citing document
2021Microchip bags and waste sorting. (2021). Picchio, Matteo. In: Working Papers. RePEc:anc:wpaper:449.

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2020Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

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2020Limit Theorems for Factor Models. (2018). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.06338.

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2021Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

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2021The Spectral Approach to Linear Rational Expectations Models. (2020). Al-Sadoon, Majid. In: Papers. RePEc:arx:papers:2007.13804.

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2020Simpler Proofs for Approximate Factor Models of Large Dimensions. (2020). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2008.00254.

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2020Regularized Solutions to Linear Rational Expectations Models. (2020). Al-Sadoon, Majid. In: Papers. RePEc:arx:papers:2009.05875.

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2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

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2020A Two-Way Transformed Factor Model for Matrix-Variate Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2011.09029.

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2021A nowcasting approach to generate timely estimates of Mexican economic activity: An application to the period of COVID-19. (2021). Corona, Francisco ; Gonz, Graciela ; L'Opez, Jes'Us. In: Papers. RePEc:arx:papers:2101.10383.

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2021Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2021). Han, XU ; Bai, Jushan ; Duan, Jiangtao. In: Papers. RePEc:arx:papers:2102.12666.

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2020The limits to robust monetary policy in a small open economy with learning agents. (2020). Dai, Meixing ; Charlotte, Andre Marine. In: Working Papers. RePEc:bdm:wpaper:2020-12.

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2020Granular Instrumental Variables. (2020). Gabaix, Xavier. In: Working Papers. RePEc:bfi:wpaper:2020-177.

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2020A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting. (2020). Hartigan, Luke ; Morley, James. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:271-293.

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2020Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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2020Spurious Factor Analysis. (2020). Wang, C ; Onatski, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2003.

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2020Measurement of Factor Strenght: Theory and Practice. (2020). Bailey, Natalia ; Kapetanios, George ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8146.

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2020Linguistic Metrics for Patent Disclosure: Evidence from University versus Corporate Patents. (2020). Dulleck, Uwe ; Jaffe, Adam ; Kong, Nancy ; Vajjala, Sowmya ; Sun, Shupeng. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8571.

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2020Measuring Systemic Risk: A Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:874.

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2020Productivity and the Welfare of Nations. (2020). Pascali, Luigi ; Basu, Susanto ; Serven, Luis ; Schiantarelli, Fabio. In: Working Papers. RePEc:cmf:wpaper:wp2020_2010.

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2020Spurious relationships in high dimensional systems with strong or mild persistence. (2020). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:31553.

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2020Estimation of Weak Factor Models. (2020). Uematsu, Yoshimasa ; Yamagata, Takashi. In: ISER Discussion Paper. RePEc:dpr:wpaper:1053r.

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2020Inference in Weak Factor Models. (2020). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1080.

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2020High-dimensional two-sample mean vectors test and support recovery with factor adjustment. (2020). Zhang, Mingjuan ; He, Yong ; Zhou, Wang. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:151:y:2020:i:c:s0167947320300955.

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2021Two sample tests for high-dimensional autocovariances. (2021). Gates, Katheleen M ; Baek, Changryong ; Pipiras, Vladas ; Leinwand, Benjamin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301584.

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2021Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis. (2021). Alonso, Estrella ; san Roque, Antonio Muoz ; Rice, Gregory ; Portela, Jose ; Mestre, Guillermo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:155:y:2021:i:c:s0167947320301997.

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2020Government spending and heterogeneous consumption dynamics. (2020). Laumer, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300373.

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2020Monetary policy and systemic risk-taking in the euro area banking sector. (2020). Kabundi, Alain ; de Simone, Francisco Nadal . In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:736-758.

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2020Determining the number of factors in approximate factor models by twice K-fold cross validation. (2020). Chen, Hui ; Wei, Jie. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176520301191.

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2020A multicointegration model of global climate change. (2020). Stern, David ; Csereklyei, Zsuzsanna ; Bruns, Stephan B. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:175-197.

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2020A robust procedure to build dynamic factor models with cluster structure. (2020). Galeano, Pedro ; Alonso, Andres M ; Pea, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:35-52.

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2020Efficient estimation of heterogeneous coefficients in panel data models with common shocks. (2020). Cui, Guowei ; Li, Kunpeng ; Lu, Lina. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:327-353.

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2020Estimation of a multiplicative correlation structure in the large dimensional case. (2020). Hafner, Christian ; Linton, Oliver B ; Tang, Haihan. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:431-470.

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2020Estimating latent asset-pricing factors. (2020). Pelger, Markus ; Lettau, Martin. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:1-31.

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2020Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects. (2020). Zinde-Walsh, Victoria ; Galbraith, John W. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:609-632.

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2020Panel threshold models with interactive fixed effects. (2020). Su, Liangjun ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:137-170.

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2021Nonlinear factor models for network and panel data. (2021). Weidner, Martin ; Fernandez-Val, Ivan ; Chen, Mingli. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:296-324.

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2021Estimating and testing high dimensional factor models with multiple structural changes. (2021). Wang, FA ; Kao, Chihwa ; Baltagi, Badi H. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:349-365.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2021Detecting granular time series in large panels. (2021). Mesters, Geert ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:544-561.

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2021Estimation of a nonparametric model for bond prices from cross-section and time series information. (2021). Linton, Oliver ; la Vecchia, Davide ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:562-588.

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2021Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors. (2021). Luciani, Matteo ; Lippi, Marco ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:455-482.

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2021Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks. (2021). Ouyang, Min ; Li, QI ; Hou, Lei. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:483-509.

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2021Detection of units with pervasive effects in large panel data models. (2021). Reese, S ; Pesaran, M H ; Kapetanios, G. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:510-541.

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2020A general white noise test based on kernel lag-window estimates of the spectral density operator. (2020). Rice, Gregory ; Characiejus, Vaidotas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:175-196.

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2021Evaluating restricted common factor models for non-stationary data. (2021). Fachin, Stefano ; di Iorio, Francesca. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:64-75.

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2021Neural network prediction of crude oil futures using B-splines. (2021). Shang, Han Lin ; Miao, Hong ; Kokoszka, Piotr ; Butler, Sunil. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304205.

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2020Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis. (2020). de Simone, Francisco Nadal ; Jin, Xisong. In: Journal of Financial Stability. RePEc:eee:finsta:v:49:y:2020:i:c:s1572308920300486.

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2020What is the investment loss due to uncertainty?. (2020). Panagiotidis, Theodore ; Printzis, Panagiotis. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318302023.

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2020Macroeconomic forecasting using approximate factor models with outliers. (2020). Yen, Yu-Min ; Chou, Ray Yeutien. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:267-291.

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2020A functional time series analysis of forward curves derived from commodity futures. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:646-665.

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2020Adding space to the international business cycle. (2020). Servén, Luis ; Abate, Girum Dagnachew ; Serven, Luis. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:65:y:2020:i:c:s0164070420301373.

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2020Commodity-price comovement and global economic activity. (2020). Coibion, Olivier ; Bhattarai, Saroj ; Alquist, Ron. In: Journal of Monetary Economics. RePEc:eee:moneco:v:112:y:2020:i:c:p:41-56.

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2020Budget uncertainty in a monetary union. (2020). Oros, Cornel ; Zimmer, Blandine. In: European Journal of Political Economy. RePEc:eee:poleco:v:63:y:2020:i:c:s017626802030032x.

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2020Financial vulnerability, fiscal procyclicality and inflation targeting in developing commodity exporting economies. (2020). Naderian, Mohammad Amin ; Jalali-Naini, Ahmad Reza. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:84-97.

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2020Sequential testing for structural stability in approximate factor models. (2020). Trapani, Lorenzo ; Barigozzi, Matteo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:8:p:5149-5187.

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2020Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model. (2020). Angelopoulos, Jason ; Visvikis, Ilias D ; Sahoo, Satya. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:133:y:2020:i:c:s1366554519311081.

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2020Identification Through Sparsity in Factor Models. (2020). Freyaldenhoven, Simon. In: Working Papers. RePEc:fip:fedpwp:88229.

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2021The Anatomy of Government Bond Yields Synchronization in the Eurozone. (2021). Napoletano, Mauro ; Guerini, Mattia ; Barbieri, Claudio. In: GREDEG Working Papers. RePEc:gre:wpaper:2021-08.

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2020Towards a more resilient European Union after the COVID-19 crisis. (2020). Mainguy, Claire ; Dai, Meixing ; Barbier-Gauchard, Amelie ; Trabelsi, Jamel ; Terraz, Isabelle ; Sidiropoulos, Moise ; Saadaoui, Jamel. In: Working Papers. RePEc:hal:wpaper:hal-03008144.

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2020One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area. (2020). Mann, Samuel ; Duarte, Joao B ; Corsetti, Giancarlo. In: IMF Working Papers. RePEc:imf:imfwpa:2020/108.

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2021Heterogeneous beliefs, monetary policy, and stock price volatility. (2021). Oshima, Katsuhiro. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:1:d:10.1007_s10436-020-00379-9.

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2020Estimating Non-stationary Common Factors: Implications for Risk Sharing. (2020). Ruiz, Esther ; Poncela, Pilar ; Corona, Francisco. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9875-9.

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2020Estimating a Dynamic Factor Model in EViews Using the Kalman Filter and Smoother. (2020). Solberger, Martin ; Spnberg, Erik. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09912-z.

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2020Global vs Sectoral Factors and the Impact of the Financialization in Commodity Price Changes. (2020). Sierra, Lya Paola ; Senra, Eva ; Poncela, Pilar. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:4:d:10.1007_s11079-019-09564-4.

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2021Investment and Uncertainty: Are large firms different from small ones?. (2021). Panagiotidis, Theodore ; Printzis, Panagiotis. In: Discussion Paper Series. RePEc:mcd:mcddps:2021_06.

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2020Most Powerful Test against High Dimensional Free Alternatives. (2020). GAO, Jiti ; Jaidee, Sombut ; He, YI. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-13.

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2020Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information. (2020). Linton, Oliver ; la Vecchia, Davide ; Koo, Bonsoo . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-4.

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2020Measurement of Factor Strength: Theory and Practice. (2020). Pesaran, M ; Bailey, Natalia ; Kapetanios, George. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-7.

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2020Linguistic Metrics for Patent Disclosure: Evidence from University Versus Corporate Patents. (2020). Jaffe, Adam ; Dulleck, Uwe ; Vajjala, Sowmya ; Sun, Shupeng ; Kong, Nancy. In: NBER Working Papers. RePEc:nbr:nberwo:27803.

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2020Long-term growth sources for sectors of Russian economy. (2020). Ivashchenko, S. In: Journal of the New Economic Association. RePEc:nea:journl:y:2020:i:48:p:86-112.

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2020Transfer entropy as a variable selection methodology of cryptocurrencies in the framework of a high dimensional predictive model. (2020). Farias, Graciela Gonzalez ; Garcia-Medina, Andres. In: PLOS ONE. RePEc:plo:pone00:0227269.

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2020Inference on the dimension of the nonstationary subspace in functional time series. (2019). Nielsen, Morten ; Seong, Dakyung. In: Working Paper. RePEc:qed:wpaper:1420.

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2020Canonical Correlation-based Model Selection for the Multilevel Factors. (2020). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Working Papers. RePEc:sgo:wpaper:2008.

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2020Online Appendix for Canonical Correlation-based Model Selection for the Multilevel Factors. (2020). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Working Papers. RePEc:sgo:wpaper:2009.

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2020Arbitrary initial conditions and the dimension of indeterminacy in linear rational expectations models. (2020). Sorge, Marco. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00269-4.

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2020Are exchange rates disconnected from macroeconomic variables? Evidence from the factor approach. (2020). Park, Cheolbeom ; Kim, Yunjung. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1596-3.

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2021The Anatomy of Government Bond Yields Synchronization in the Eurozone. (2021). Napoletano, Mauro ; Guerini, Mattia ; Barbieri, Claudio. In: LEM Papers Series. RePEc:ssa:lemwps:2021/07.

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2020Towards a more resilient European Union after the COVID-19 crisis.. (2020). Dai, Meixing ; Barbier-Gauchard, Amelie ; Trabelsi, Jamel ; Terraz, Isabelle ; Sidiropoulos, Moise ; Saadaoui, Jamel ; Mainguy, Claire. In: Working Papers of BETA. RePEc:ulp:sbbeta:2020-33.

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2020Recent Changes in the Nature of Distribution Dynamics of US County Incomes. (2020). Shin, Donggyun ; Park, Seonyoung. In: Working Paper Series. RePEc:vuw:vuwecf:8075.

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2020Nowcasting Economic Activity in Times of COVID-19 : An Approximation from the Google Community Mobility Report. (2020). Sampi, James ; Jooste, Charl ; Ezequiel, James Robert. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:9247.

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2020A cross‐section average‐based principal components approach for fixed‐T panels. (2020). Westerlund, Joakim. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:6:p:776-785.

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2020The Role of Inflation Target Adjustment in Stabilization Policy. (2020). Eo, Yunjong ; Lie, Denny. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:52:y:2020:i:8:p:2007-2052.

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2021Microchip Bags and Waste Sorting. (2021). Picchio, Matteo. In: GLO Discussion Paper Series. RePEc:zbw:glodps:772.

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2020A comment on the dynamic factor model with dynamic factors. (2020). Ruiz, Esther ; Poncela, Pilar. In: Economics Discussion Papers. RePEc:zbw:ifwedp:20207.

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Works by Alexei Onatski:


YearTitleTypeCited
2016Alternative Asymptotics for Cointegration Tests in Large VARs In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper11
2018Alternative Asymptotics for Cointegration Tests in Large VARs.(2018) In: Econometrica.
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This paper has another version. Agregated cites: 11
article
2018Extreme canonical correlations and high-dimensional cointegration analysis In: Cambridge Working Papers in Economics.
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paper0
2018Testing in High-Dimensional Spiked Models In: Cambridge Working Papers in Economics.
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paper1
2018Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios In: Cambridge Working Papers in Economics.
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paper0
2018Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise. In: Cambridge Working Papers in Economics.
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paper1
2011Set Coverage and Robust Policy In: CIRANO Working Papers.
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paper5
2012Set coverage and robust policy.(2012) In: Economics Letters.
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This paper has another version. Agregated cites: 5
article
2011Set Coverage and Robust Policy.(2011) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 5
paper
2012UNIT ROOTS IN WHITE NOISE In: Econometric Theory.
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article3
2009Unit Roots in White Noise.(2009) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2002ROBUST MONETARY POLICY UNDER MODEL UNCERTAINTY IN A SMALL MODEL OF THE U.S. ECONOMY In: Macroeconomic Dynamics.
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article202
1999Robust monetary policy under model uncertainty in a small model of the U.S. economy.(1999) In: Proceedings.
[Citation analysis]
This paper has another version. Agregated cites: 202
article
2000Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy.(2000) In: NBER Working Papers.
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This paper has another version. Agregated cites: 202
paper
2012Signal Detection in High Dmension: The Multispiked Case In: Working Papers ECARES.
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paper6
2013Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model In: Working Papers ECARES.
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2011Asymptotic Power of Sphericity Tests for High-Dimensional Data In: Working Papers ECARES.
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paper24
2002Modeling model uncertainty In: Working Paper Series.
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paper144
2003Modeling Model Uncertainty.(2003) In: NBER Working Papers.
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This paper has another version. Agregated cites: 144
paper
2003Modeling Model Uncertainty.(2003) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 144
article
2009Testing Hypotheses About the Number of Factors in Large Factor Models In: Econometrica.
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article157
2004Dynamics of Interest Rate Curve by Functional Auto-regression In: Econometric Society 2004 North American Summer Meetings.
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paper0
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