Alexei Onatski : Citation Profile


Are you Alexei Onatski?

University of Cambridge

13

H index

13

i10 index

1658

Citations

RESEARCH PRODUCTION:

19

Articles

26

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 75
   Journals where Alexei Onatski has often published
   Relations with other researchers
   Recent citing documents: 111.    Total self citations: 16 (0.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pon27
   Updated: 2022-10-01    RAS profile: 2021-04-19    
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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:

Barigozzi, Matteo (36)

Schorfheide, Frank (35)

Forni, Mario (33)

Durlauf, Steven (33)

Brock, William (31)

Wieland, Volker (29)

Lippi, Marco (27)

Luciani, Matteo (23)

Kuester, Keith (22)

Ruiz, Esther (22)

Williams, John (20)

Cites to:

Reichlin, Lucrezia (18)

Forni, Mario (12)

Christiano, Lawrence (12)

Hallin, Marc (11)

Levin, Andrew (10)

Giannone, Domenico (9)

Watson, Mark (9)

Williams, John (9)

Bai, Jushan (9)

Ng, Serena (9)

Sims, Christopher (8)

Main data


Where Alexei Onatski has published?


Journals with more than one article published# docs
Journal of Econometrics3
Econometrica2
Journal of Applied Econometrics2
Proceedings2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc4
Working Papers ECARES / ULB -- Universite Libre de Bruxelles3

Recent works citing Alexei Onatski (2022 and 2021)


YearTitle of citing document
2022Parametric Estimation of Long Memory in Factor Models. (2022). Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2022-10.

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2021Challenges of Forecasting the Long-Run Economic Consequences of Pandemics for Selected sub-Saharan Economies. (2021). Kangami, Divine Ngenyeh. In: African Journal of Economic Review. RePEc:ags:afjecr:315811.

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2021Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices. (2021). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: FEEM Working Papers. RePEc:ags:feemwp:312367.

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

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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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2021Cointegration in large VARs. (2020). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2006.14179.

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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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2022Rank Determination in Tensor Factor Model. (2022). Zhang, Cun-Hui ; Chen, Rong. In: Papers. RePEc:arx:papers:2011.07131.

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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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2022Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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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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2022Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127.

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2021Approximate Factor Models with Weaker Loadings. (2021). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2109.03773.

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2022Linear Panel Regressions with Two-Way Unobserved Heterogeneity. (2021). Weidner, Martin ; Freeman, Hugo. In: Papers. RePEc:arx:papers:2109.11911.

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2021Fixed $T$ Estimation of Linear Panel Data Models with Interactive Fixed Effects. (2021). Higgins, Ayden. In: Papers. RePEc:arx:papers:2110.05579.

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2022Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2022Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532.

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2022Inferential Theory for Granular Instrumental Variables in High Dimensions. (2022). Lee, Tae Hwy ; Banafti, Saman. In: Papers. RePEc:arx:papers:2201.06605.

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2022Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho. In: Papers. RePEc:arx:papers:2202.00310.

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2022Forecasting Environmental Data: An example to ground-level ozone concentration surfaces. (2022). Gleim, Alexander ; Salish, Nazarii. In: Papers. RePEc:arx:papers:2202.03332.

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2022Asymptotics of Cointegration Tests for High-Dimensional VAR($k$). (2022). Bykhovskaya, Anna ; Gorin, Vadim. In: Papers. RePEc:arx:papers:2202.07150.

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2022Estimation of a Factor-Augmented Linear Model with Applications Using Student Achievement Data. (2022). Lamarche, Carlos ; Muris, Chris ; Harding, Matthew. In: Papers. RePEc:arx:papers:2203.03051.

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2022Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052.

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2022CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects. (2022). Linton, Oliver ; Walsh, Christopher ; Vogt, Michael. In: Papers. RePEc:arx:papers:2206.12152.

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2022Conformal Prediction Bands for Two-Dimensional Functional Time Series. (2022). Vantini, Simone ; Fontana, Matteo ; Diquigiovanni, Jacopo ; Ajroldi, Niccolo. In: Papers. RePEc:arx:papers:2207.13656.

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2022Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693.

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2021The ECB and the Cost of Independence. Unearthing a New Doom-Loop in the European Monetary Union. (2021). Marozzi, Armando. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21152.

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2022Uncertainty and Monetary Policy Experimentation: Empirical Challenges and Insights from Academic Literature. (2022). Sekkel, Rodrigo ; Matveev, Dmitry ; Cacciatore, Matteo. In: Discussion Papers. RePEc:bca:bocadp:22-9.

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2021Optimal robust monetary policy with parameters and output gap uncertainty. (2021). Traficante, Guido ; Grasso, Adriana. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1339_21.

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2021Structural factor equation models for causal network construction via directed acyclic mixed graphs. (2021). Wen, Xiaoquan ; Xk, Peter ; Zhou, Yan. In: Biometrics. RePEc:bla:biomet:v:77:y:2021:i:2:p:573-586.

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2021The Direction and Intensity of China’s Monetary Policy: A Dynamic Factor Modelling Approach*. (2021). Tsang, Andrew ; Funke, Michael. In: The Economic Record. RePEc:bla:ecorec:v:97:y:2021:i:316:p:100-122.

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2022Seasonal functional autoregressive models. (2022). Hyndman, Rob ; Hashemi, Maryam ; Haghbin, Hossein ; Zamani, Atefeh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:197-218.

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2021How robustness can change the desirability of speed limit policy. (2021). Hasui, Kohei. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:68:y:2021:i:5:p:553-570.

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2021Trend Growth and Robust Monetary Policy. (2021). Hasui, Kohei. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:21:y:2021:i:2:p:449-472:n:5.

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2021Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model. (2021). Linton, O ; Chen, J ; Li, Y-N., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2150.

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2022CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects. (2022). Walsh, C ; Vogt, M ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2242.

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2022.

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2021Factor Strengths, Pricing Errors, and Estimation of Risk Premia. (2021). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8947.

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2021Consolidating the Covid Debt. (2021). Stevens, Jacob ; Johs, Julian ; Keuschnigg, Christian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9497.

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2021Dynamic factor models: does the specification matter?. (2021). Miranda, Karen Alejandra ; Poncela, Pilar ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32210.

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2021Inferential Theory for Generalized Dynamic Factor Models. (2021). Hallin, Marc ; Barigozzi, Matteo ; Zaffaroni, Paolo ; Luciani, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/331192.

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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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2022Heterogeneous technology and specialization for economic growth beyond the middle-income stage. (2022). Lee, Keun ; Han, Junhee. In: Economic Modelling. RePEc:eee:ecmode:v:112:y:2022:i:c:s0264999322000992.

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2022Forecasting inflation rates with multi-level international dependence. (2022). Ergemen, Yunus Emre. In: Economics Letters. RePEc:eee:ecolet:v:214:y:2022:i:c:s016517652200101x.

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2021Nonlinear factor models for network and panel data. (2021). Fernandez-Val, Ivan ; Weidner, Martin ; 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). Baltagi, Badi ; Wang, FA ; Kao, Chihwa. 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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2021An automated approach towards sparse single-equation cointegration modelling. (2021). Smeekes, Stephan ; Wijler, Etienne. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:247-276.

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2021Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors. (2021). Lippi, Marco ; Barigozzi, Matteo ; Luciani, 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). Pesaran, M ; Reese, S ; Kapetanios, G. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:510-541.

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2021Augmented factor models with applications to validating market risk factors and forecasting bond risk premia. (2021). Liao, Yuan ; Ke, Yuan ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:269-294.

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2021Autoencoder asset pricing models. (2021). Xiu, Dacheng ; Kelly, Bryan ; Gu, Shihao. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:429-450.

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2021High dimensional minimum variance portfolio estimation under statistical factor models. (2021). Zheng, Xinghua ; Li, Yingying ; Ding, YI. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:502-515.

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2021On factor models with random missing: EM estimation, inference, and cross validation. (2021). Su, Liangjun ; Jin, Sainan ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:745-777.

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2022Factor models with many assets: Strong factors, weak factors, and the two-pass procedure. (2022). Anatolyev, Stanislav ; Mikusheva, Anna. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:103-126.

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2022High-dimensional test for alpha in linear factor pricing models with sparse alternatives. (2022). Ma, Yanyuan ; Liu, Binghui ; Lan, Wei ; Feng, Long. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:152-175.

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2022Factor models with local factors — Determining the number of relevant factors. (2022). Freyaldenhoven, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:80-102.

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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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2021Follow the leader: Index tracking with factor models. (2021). Perez, M. Fabricio ; Jiang, Pan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:337-350.

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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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202130 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial. (2021). Ruiz, Esther ; Pea, Daniel ; Escribano, Alvaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1333-1337.

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2021Factor extraction using Kalman filter and smoothing: This is not just another survey. (2021). Ruiz, Esther ; Miranda, Karen ; Poncela, Pilar. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1399-1425.

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2021Spurious relationships in high-dimensional systems with strong or mild persistence. (2021). Gonzalo, Jesus ; Pitarakis, Jean-Yves. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1480-1497.

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2021Investment and uncertainty: Are large firms different from small ones?. (2021). Panagiotidis, Theodore ; Printzis, Panagiotis. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:184:y:2021:i:c:p:302-317.

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2021Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692.

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2022The level, slope, and curve factor model for stocks. (2022). Clarke, Charles. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:159-187.

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2022Resolvent estimators for functional autoregressive processes with random coefficients. (2022). Mourid, Tahar ; Boukhiar, Souad. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21001627.

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2022Consistently recovering the signal from noisy functional data. (2022). Jammoul, Fatima ; Hormann, Siegfried. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21001640.

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2021A fresh look at the risk-return tradeoff. (2021). Lo, Hsin-Yu ; Chen, Yi-Chi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000536.

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2022Determining the number of factors in high-dimensional generalized latent factor models. (2021). Chen, Yunxiao ; Li, Xiaoou. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111574.

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2021Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices. (2021). Lucchetti, Riccardo ; Casoli, Chiara. In: Working Papers. RePEc:fem:femwpa:2021.1p.

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2022E pluribus, quaedam. Gross domestic product out of a dashboard of indicators. (2022). Napoletano, Mauro ; Vanni, Fabio ; Guerini, Mattia. In: Working Papers. RePEc:fem:femwpa:2022.15.

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2022Relative Price Shocks and Inflation. (2022). Wolman, Alexander L ; Ruge-Mucia, Francisco J. In: Working Paper. RePEc:fip:fedrwp:94408.

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2021.

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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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2021The anatomy of government bond yields synchronization in the Eurozone. (2021). Guerini, Mattia ; Barbieri, Claudio ; Napoletano, Mauro. In: Working Papers. RePEc:hal:wpaper:hal-03373853.

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2021Linear panel regressions with two-way unobserved heterogeneity. (2021). Weidner, Martin ; Freeman, Hugo. In: CeMMAP working papers. RePEc:ifs:cemmap:39/21.

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2021Parameter Uncertainty and Effective Lower Bound Risk. (2021). Soma, Naoto. In: IMES Discussion Paper Series. RePEc:ime:imedps:21-e-11.

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2021Determining the Number of Factors in Static Approximate Factor Models Using Discrete Fourier Transforms and Pseudo-Eigenvalues. (2021). Qian, Hou ; Weihua, Ruan. In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). RePEc:jns:jbstat:v:241:y:2021:i:1:p:71-117:n:3.

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2021When do investors go green? Evidence from a time-varying asset-pricing model. (2021). Ossola, Elisa ; Alessi, Lucia ; Panzica, Roberto. In: Working Papers. RePEc:jrs:wpaper:202113.

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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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2021How Robust is Robust Control in Discrete Time?. (2021). Tucci, Marco P. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10027-z.

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2021Coping with intelligence deficits in poverty-alleviation policies in low-income countries. (2021). Ascher, William. In: Policy Sciences. RePEc:kap:policy:v:54:y:2021:i:2:d:10.1007_s11077-020-09412-0.

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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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2021Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model. (2021). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: MPRA Paper. RePEc:pra:mprapa:109231.

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2022A method for evaluating the rank condition for CCE estimators. (2022). Sarafidis, Vasilis ; Everaert, Gerdie ; de Vos, Ignace. In: MPRA Paper. RePEc:pra:mprapa:112305.

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2022Asset Pricing Tests, Endogeneity issues and Fama-French factors. (2022). Allen, David. In: MPRA Paper. RePEc:pra:mprapa:113610.

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2021Monetary Policy and House Price Volatility. (2021). Wesołowski, Grzegorz ; Wesoowski, Grzegorz. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:13:y:2021:i:4:p:359-379.

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2021Output Gap, Monetary Policy Trade-offs, and Financial Frictions. (). Gelain, Paolo ; Furlanetto, Francesco ; Sanjani, Marzie Taheri . In: Review of Economic Dynamics. RePEc:red:issued:20-29.

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2021A method for evaluating the rank condition for CCE estimators. (2021). Sarafidis, Vasilis ; De Vos, Ignace ; Everaert, Gerdie. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:21/1013.

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2021Interdependence among mental health care providers: evidence from a spatial dynamic panel data model with interactive fixed effects. (2021). Wu, Lizi ; Lin, XU. In: The Annals of Regional Science. RePEc:spr:anresc:v:67:y:2021:i:1:d:10.1007_s00168-020-01043-w.

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2022Robust estimation of the number of factors for the pair-elliptical factor models. (2022). Gong, Yulin ; Ling, Nengxiang ; Yang, Shuquan. In: Computational Statistics. RePEc:spr:compst:v:37:y:2022:i:3:d:10.1007_s00180-021-01165-5.

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2021On cointegration and cryptocurrency dynamics. (2021). Keilbar, Georg ; Zhang, Yanfen. In: Digital Finance. RePEc:spr:digfin:v:3:y:2021:i:1:d:10.1007_s42521-021-00027-5.

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2021Exchange rate pass-through to import prices in Europe: a panel cointegration approach. (2021). Arsova, Antonia. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:1:d:10.1007_s00181-020-01858-8.

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2021Is the future really observable? A practical approach to model monetary policy rules. (2021). Marfatia, Hardik A. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:3:d:10.1007_s00181-020-01910-7.

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2022Forecasting the Japanese macroeconomy using high-dimensional data. (2022). Sueishi, Naoya ; Nakajima, Yoshiki. In: The Japanese Economic Review. RePEc:spr:jecrev:v:73:y:2022:i:2:d:10.1007_s42973-020-00041-z.

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2022Wage Rigidity Impacts on Unemployment and Inflation Persistence in Tunisia: Evidence from an Estimated DSGE Model. (2022). Chakroun, Mohamed ; Alimi, Kawther. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:13:y:2022:i:1:d:10.1007_s13132-021-00751-8.

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More than 100 citations found, this list is not complete...

Works by Alexei Onatski:


YearTitleTypeCited
2016Alternative Asymptotics for Cointegration Tests in Large VARs In: Cambridge Working Papers in Economics.
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paper15
2018Alternative Asymptotics for Cointegration Tests in Large VARs.(2018) In: Econometrica.
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2018Extreme canonical correlations and high-dimensional cointegration analysis In: Cambridge Working Papers in Economics.
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2019Extreme canonical correlations and high-dimensional cointegration analysis.(2019) In: Journal of Econometrics.
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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
2020Spurious Factor Analysis In: Cambridge Working Papers in Economics.
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paper3
2021Spurious Factor Analysis.(2021) In: Econometrica.
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article
2011Set Coverage and Robust Policy In: CIRANO Working Papers.
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2012Set coverage and robust policy.(2012) In: Economics Letters.
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article
2011Set Coverage and Robust Policy.(2011) In: CIRJE F-Series.
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paper
2012UNIT ROOTS IN WHITE NOISE In: Econometric Theory.
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article4
2009Unit Roots in White Noise.(2009) In: MPRA Paper.
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paper
2002ROBUST MONETARY POLICY UNDER MODEL UNCERTAINTY IN A SMALL MODEL OF THE U.S. ECONOMY In: Macroeconomic Dynamics.
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article234
1999Robust monetary policy under model uncertainty in a small model of the U.S. economy.(1999) In: Proceedings.
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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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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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paper0
2011Asymptotic Power of Sphericity Tests for High-Dimensional Data In: Working Papers ECARES.
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paper27
2002Modeling model uncertainty In: Working Paper Series.
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paper154
2003Modeling Model Uncertainty.(2003) In: NBER Working Papers.
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paper
2003Modeling Model Uncertainty.(2003) In: Journal of the European Economic Association.
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This paper has another version. Agregated cites: 154
article
2009Testing Hypotheses About the Number of Factors in Large Factor Models In: Econometrica.
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article199
2004Dynamics of Interest Rate Curve by Functional Auto-regression In: Econometric Society 2004 North American Summer Meetings.
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paper0
2004Dynamics of Interest Rate Curve by Functional Auto-Regression.(2004) In: Macroeconomics.
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paper
2000Minimax Analysis of Monetary Policy Under Model Uncertainty In: Econometric Society World Congress 2000 Contributed Papers.
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paper5
2001Searching for prosperity In: Carnegie-Rochester Conference Series on Public Policy.
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article102
2001Searching for Prosperity.(2001) In: NBER Working Papers.
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This paper has another version. Agregated cites: 102
paper
2006Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models In: Journal of Economic Dynamics and Control.
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article21
2012Asymptotics of the principal components estimator of large factor models with weakly influential factors In: Journal of Econometrics.
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article100
2015Asymptotic analysis of the squared estimation error in misspecified factor models In: Journal of Econometrics.
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article16
2008Curve forecasting by functional autoregression In: Journal of Multivariate Analysis.
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article51
2005Curve Forecasting by Functional Autoregression.(2005) In: Computing in Economics and Finance 2005.
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This paper has another version. Agregated cites: 51
paper
2004Empirical and policy performance of a forward-looking monetary model In: Proceedings.
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article69
2010Empirical and policy performance of a forward-looking monetary model.(2010) In: Journal of Applied Econometrics.
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article
2010Empirical and policy performance of a forward?looking monetary model.(2010) In: Journal of Applied Econometrics.
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article
2005Monetary policy under uncertainty in micro-founded macroeconometric models In: Working Paper Series.
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paper354
2006Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models.(2006) In: NBER Chapters.
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chapter
2005Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models.(2005) In: NBER Working Papers.
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paper
2010Factor Analysis of a Large DSGE Model In: Cahiers de recherche.
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2010Factor Analysis of a Large DSGE Model.(2010) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 2
paper
2010Factor Analysis of a Large DSGE Model.(2010) In: Working Paper series.
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paper
2013FACTOR ANALYSIS OF A LARGE DSGE MODEL.(2013) In: Journal of Applied Econometrics.
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article
2003Robust Monetary Policy Rules for the Short and Long Run In: Computing in Economics and Finance 2003.
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paper0
2010Determining the Number of Factors from Empirical Distribution of Eigenvalues In: The Review of Economics and Statistics.
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article281

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