Unit Roots in White Noise (2009)
Onatski, Alexei, Uhlig, Harald
We show that the empirical distribution of the roots of the vector auto-regression of order n fitted to T observations of a general stationary or non-stationary process, converges to the uniform...
Unit Roots in White Noise (2009)
Onatski, Alexei, Uhlig, Harald
We show that the empirical distribution of the roots of the vector auto-regression of order n fitted to T observations of a general stationary or non-stationary process, converges to the uniform...
The Tracy--Widom limit for the largest eigenvalues of singular complex Wishart matrices (2008)
This paper extends the work of El Karoui [Ann. Probab. 35 (2007) 663--714] which finds the Tracy--Widom limit for the largest eigenvalue of a nonsingular $p$-dimensional complex Wishart matrix...
INTERNATIONAL SEMINAR ON MACROECONOMICS (2007)
Xy Itw Wyhivsxq, Alexei Onatski, Alexei Onatski, Noah Williams, Noah Williams
Recently there has been much interest in studying monetary policy under model uncertainty. We develop methods to analyze di#erent sources of uncertainty in one coherent structure useful for policy...
Determining the number of factors from empirical distribution of eigenvalues (2005)
We develop a new consistent and simple to compute estimator of the number of factors in the approximate factor models of Chamberlain and Rothchild (1983). Our setting requires both time series and...
Determining the number of factors from empirical distribution of eigenvalues (2005)
We develop a new consistent and simple to compute estimator of the number of factors in the approximate factor models of Chamberlain and Rothchild (1983). Our setting requires both time series and...
Monetary Policy under Uncertainty (2005)
Andrew T. Levin, Alexei Onatski, John C. Williams, Noah Williams
We use a micro-founded macroeconometric modeling framework to investigate the design of monetary policy when the central bank faces uncertainty about the true structure of the economy. We apply...
Curve forecasting by functional autoregression (2004)
Data in which each observation is a curve occur in many applied problems. This paper explores prediction in time series in which the data is generated by a curve-valued autoregression process. It...
Curve forecasting by functional autoregression (2004)
Data in which each observation is a curve occur in many applied problems. This paper explores prediction in time series in which the data is generated by a curve-valued autoregression process. It...
Dynamics of Interest Rate Curve by Functional Auto-Regression (2004)
Kargin, Vladislav, Onatski, Alexei
The paper uses functional auto-regression to predict the dynamics of interest rate curve. It estimates the auto-regressive operator by extending methods of the reduced-rank auto-regression to the...
to the source. Modeling Model Uncertainty (2003)
Alexei Onatski, Noah Williams, Alexei Onatski, Noah Williams, Alexei Onatski, Noah Williams
in the seminar, especially our discussants Glenn Rudebusch and Ulf Söderström for detailed and insightful discussions and Chris Sims for useful comments. We are extremely grateful to Jim Stock for...
Modeling model uncertainty (2002)
Onatski, Alexei, Williams, Noah
Recently there has been a great deal of interest in studying monetary policy under model uncertainty. We develop new methods to analyze different sources of uncertainty in one coherent structure,...
Modeling model uncertainty (2002)
Onatski, Alexei, Williams, Noah
Recently there has been a great deal of interest in studying monetary policy under model uncertainty. We develop new methods to analyze different sources of uncertainty in one coherent structure,...
Robust monetary policy under model uncertainty / (2001)
Thesis (Ph. D., Department of Economics)--Harvard University, 2001.
Searching for Prosperity (2001)
Michael Kremer, Alexei Onatski, James Stock, Chad Jones, Aart Kraay, ...
Abstract: Quah’s [1993a] transition matrix analysis of world income distri-bution based on annual data suggests an ergodic distribution with twin peaks at the rich and poor end of the distribution....
Monetary policy under uncertainty in micro-founded macroeconometric models
Andrew T. Levin, Alexei Onatski, John C. Williams, Noah Williams
We use a micro-founded macroeconometric modeling framework to investigate the design of monetary policy when the central bank faces uncertainty about the true structure of the economy. We apply...
Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models
Noah Williams, Andrew Levin, Alexei Onatski
Over the past decade there has been remarkable progress in developing empirical micro-founded macroeconomic models for monetary policy analysis that feature coherence both to economic theory and to...
Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models
Andrew T. Levin, Alexei Onatski, John C. Williams, Noah Williams
We use a micro-founded macroeconometric modeling framework to investigate the design of monetary policy when the central bank faces uncertainty about the true structure of the economy. We apply...
Recently there has been a great deal of interest in studying monetary policy under model uncertainty. We point out that different assumptions about the uncertainty may result in drastically different...
Determining the number of factors from empirical distribution of eigenvalues
We develop a new consistent and simple to compute estimator of the number of factors in the approximate factor models of Chamberlain and Rothchild (1983). Our setting requires both time series and...
Recently there has been a great deal of interest in studying monetary policy under model uncertainty. We develop new methods to analyze different sources of uncertainty in one coherent structure,...
Robust Monetary Policy Rules for the Short and Long Run
robustness, policy rules, model uncertainty
Robust Monetary Policy under Model Uncertainty in a Small Model of the U.S. Economy.
Onatski, Alexei, Stock, James H
This paper examines monetary policy in a two-equation macroeconomic model when the policymaker recognizes that the model is an approximation and is uncertain about the quality of that approximation....
Curve Forecasting by Functional Autoregression
Data in which each observation is a curve occur in many applied problems. This paper explores prediction in time series in which the data is generated by a curve-valued autoregression process. It...
Recently there has been much interest in studying monetary policy under model uncertainty. We develop methods to analyze different sources of uncertainty in one coherent structure useful for policy...
Minimax Analysis of Monetary Policy Under Model Uncertainty
Recently there have been several studies that examined monetary policy under model uncertainty. These studies formulated uncertainty in a number of different ways. One of the prominent ways to...
Dynamics of Interest Rate Curve by Functional Auto-regression
The paper applies methods of functional data analysis – functional auto-regression, principal components and canonical correlations – to the study of the dynamics of interest rate...
Dynamics of Interest Rate Curve by Functional Auto-Regression
Vladislav Kargin, Alexei Onatski
The paper uses functional auto-regression to predict the dynamics of interest rate curve. It estimates the auto-regressive operator by extending methods of the reduced-rank auto-regression to the...
Robust monetary policy under model uncertainty in a small model of the U.S. economy
Alexei Onatski, James H. Stock
Monetary policy
Empirical and policy performance of a forward-looking monetary model
In this paper we consider the policy implications of a fully specified dynamic general equilibrium model, developed by Smets and Wouters (2003a). This is a relatively large-scale forward looking...
Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy
Alexei Onatski, James H. Stock
This paper examines monetary policy in Rudebusch and Svensson's (1999) two equation macroeconomic model when the policymaker recognizes that the model is an approximation and is uncertain about the...
Michael Kremer, Alexei Onatski, James Stock
Quah's [1993a] transition matrix analysis of world income distribution based on annual data suggests an ergodic distribution with twin peaks at the rich and poor end of the distribution. Since the...
Recently there has been a great deal of interest in studying monetary policy under model uncertainty. We point out that different assumptions about the uncertainty may result in drastically different...
ROBUST MONETARY POLICY UNDER MODEL UNCERTAINTY IN A SMALL MODEL OF THE U.S. ECONOMY
Onatski, Alexei, Stock, James H.
This paper examines monetary policy in a two-equation macroeconomic model when the policymaker recognizes that the model is an approximation and is uncertain about the quality of that approximation....
Onatski, Alexei, Uhlig, Harald
We show that the empirical distribution of the roots of the vector auto-regression of order n fitted to T observations of a general stationary or non-stationary process, converges to the uniform...
Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models
Andrew T.. Levin, Alexei Onatski, John Williams, Noah M. Williams
Testing Hypotheses About the Number of Factors in Large Factor Models
In this paper we study high-dimensional time series that have the generalized dynamic factor structure. We develop a test of the null of k0 factors against the alternative that the number of factors...