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Research Interests

Econometrics, statistics, factor models, large random matrices.


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

Onatski, A. and Wang, C. Spectral Distribution of the Sample Covariance of High-Dimensional Time Series With Unit Roots, Statistica Sinica, forthcoming (2021)
Onatski, A. and Wang, C. Spurious Factor Analysis, Econometrica vol 89(2) (2021) pp. 591-614
Johnstone, I. M. and Onatski, A. Testing in High-dimensional Spiked Models, Annals of Statistics vol 48 no. 3 (2018) pp. 1231-1254
Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs, Econometrica vol 86(4) (2018) pp. 1465-1478
Onatski, A. Asymptotic analysis of the squared estimation error in misspecified factor models, Journal of Econometrics vol 186(2) (2015) pp. 388-406

Cambridge Working Papers in Economics

Onatski, A. and Wang, C. Spurious Factor Analysis, (2020) CWPE2003
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

Research Activities

Neuro Tensors in Finance Mini-Conference
The Janeway Institute is organising a mini-conference on Neuro Tensors in Finance. It will be held in the Faculty of Economics, in March 2023.
Event Date - Thursday 16th March 2023

J M Keynes Fellowship Fund Lectures 2018
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.
Published on - Thursday 25th January 2018

Econometrics of Networks Workshop
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.
Event Date - Wednesday 17th June 2015

Big Data Conference
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.
Event Date - Friday 12th June 2015

Workshop on Developments in Time Series
2nd April 2015 - Winstanley Lecture Theatre, Trinity College, Cambridge
Event Date - Thursday 2nd April 2015

The Janeway Institute for Economics

Coordinator for Empirical Analysis of Financial Markets Research Theme

Keynes Fund Sponsored Projects

Onatskiy, A. and Wang, C., High-dimensional Cointegration Analysis (JHOY)


PI Paper 3 - Mathematics for Economists
MPhil R300 - Econometrics I

PhD Students


Yinfeng Zeng
PhD Title:
Research: Econometrics, Factor Models


Christian Tien
PhD Title:
Research: Causal inference, Microeconometrics, Machine Learning, Factor Models
Radu Cristea
PhD Title:
Research: Adopting the Euro: Curse or Blessing? Exploring the optimal policy mix

Professor Alexey Onatskiy

Professor of Econometrics

Research Group:

CV: Curriculum Vitae

Contact Details
Room: 28
Office Hours: Wednesday 16:00-17:00
College: Churchill College