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Research Interests


Econometrics, statistics, factor models, large random matrices.

Biography


Dr. Onatski received PhD from Harvard University in 2001. He took up his first academic position at Columbia University, NY. Dr. Onatski joined the Economics Faculty at Cambridge in 2010.

Recent Publications


Published Papers

Johnstone, I. M. and Onatski, A. Testing in High-dimensional Spiked Models, (2018) Annals of Statistics, forthcoming
Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs, (2018) Econometrica, forthcoming
Onatski, A. Asymptotic analysis of the squared estimation error in misspecified factor models, (2015) Journal of Econometrics
Onatski, A., Moreira, M. J. and Hallin, M. Signal Detection in High Dimension: The Multispiked Case, (2014) The Annals of Statistics
Onatski, A. and Ruge-Murcia, F. Factor analysis of a large dsge model, (2013) Journal of Applied Econometrics

Cambridge Working Papers in Economics

Onatski, A. and Wang, C. Extreme canonical correlations and high-dimensional cointegration analysis, (2018) CWPE1805
Johnstone, I. M. and Onatski, A. Testing in High-Dimensional Spiked Models, (2018) CWPE1806
Dharmawansa, P., Johnstone, I. M., and Onatski, A. Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios, (2018) CWPE1807
Onatski, A. Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise., (2018) CWPE1808

Recent Activities


J M Keynes Fellowship Fund Lectures 2018 - Publication Date: 2018-01-25
The Managers of the J M Keynes Fellowship Fund proudly present an evening of special lectures, featuring two of the Fund's distinguished Fellows speaking about their innovative research in the field of financial economics.

Cambridge-INET Big Data Big Methods Conference - Publication Date: 2015-08-06
Tuesday 29 - Wednesday 30th September 2015 at the Winstanley Lecture Theatre, Trinity College, Cambridge.

Cambridge-INET Econometrics of Networks Workshop - Publication Date: 2015-06-05
The Econometrics of Networks Workshop is a joint workshop between Cambridge-INET and The Econometrics Journal. It will be held on 17th June 2015, from 09:00 AM to 05:00 PM at the Cambridge City Hotel, Cambridge.

Cambridge-INET Big Data Conference - Publication Date: 2015-05-21
CeMMAP and Cambridge-INET are hosting a conference on Economic and Econometric Applications of Big Data to be held in Cambridge, UK June 11-12, 2015.

Cambridge-INET Workshop on Developments in Time Series - Publication Date: 2015-03-05
2nd April 2015 - Winstanley Lecture Theatre, Trinity College, Cambridge

Teaching


PI Paper 0 - Michaelmas - Part I Intro Day
PIIA Paper 3 - Introduction to Econometrics II - Macroeconometrics
Diploma Paper 3 - Econometrics
MPhil E300 - Econometric Methods
PHD30 - Topics In Advanced Econometrics

PhD Students


Supervisor

Thomas Auld
PhD Title: Bayesian Machine Learning and Causal Inference, Theory and Applications
Research:

Advisor

Ekaterina Smetanina
PhD Title: Real-time GARCH: Does Current Information Matter?
Research: Econometrics, Finance
Alexis De Boeck
PhD Title: Inference in Partially Identified Non-separable Models
Research:
Bowei Guo
PhD Title: Household Short-term Load Forecasting Using Multi-level Factor Analysis
Research:
Xiaohua Chen
PhD Title: Financial Cycles
Research:
Yashuang Ding
PhD Title: Essays in Financial Economics, Continuous Time, Stochastic Models
Research:

Professor Alexey Onatskiy












Professor of Econometrics
Placement Director

Research Group:
Econometrics

CV: Curriculum Vitae


Contact Details
Email: ao319@cam.ac.uk
Room: 28
Office Hours: Wednesday 16:00-17:00
College: Churchill College