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Research Interests

Econometrics, statistics, factor models, large random matrices.


Ph.D. from Harvard University (2001); Serves on the editorial board of the Journal of Econometrics and the Econometrics Journal; Awarded the Keynes Fellowship (2013) by the J. M. Keynes Fellowships Fund.

Recent Publications

Published Papers

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., Moreira, M. J. and Hallin, M. Asymptotic power of sphericity tests for high-dimensional data, (2013) Annals of Statistics
Onatski, A. Asymptotics of the principal components estimator of large factor models with weakly influential factors, (2012) Journal of Econometrics
Onatski, A. and Uhlig, H. Unit roots in white noise, (2012) Econometric Theory

Cambridge Working Papers in Economics

Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs, (2016) CWPE1637

Recent Activities

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

Cambridge-INET Workshop on Microstructure Theory and Application - Publication Date: 2014-12-01
This conference aims to bring together cutting edge theoretical and empirical research in market microstructure together to address issues of contemporary importance.


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


Thomas Auld
PhD Title:


Haihan Tang
PhD Title: Adaptive LASSO Estimator in Dynamic Panel Data Models
Research: Econometric Theory (particularly high-dimensional methods), Financial Econometrics, Applied Econometrics
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
Bowei Guo
PhD Title: Household Short-term Load Forecasting Using Multi-level Factor Analysis

Professor Alexey Onatskiy

Professor of Econometrics
Placement Director

Research Group:

CV: Curriculum Vitae

Contact Details
Room: 41
Office Hours: Wednesday 16:00-17:00
College: Fellow of St. Catharine's College