Faculty of Economics, University of Cambridge Sidgwick Avenue, Cambridge, CB3 9DD. Tel: Fax:
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1 ALEXEI ONATSKI Faculty of Economics, University of Cambridge Sidgwick Avenue, Cambridge, CB3 9DD. Tel: Fax: EDUCATION 2001 Ph.D. in Economics, Harvard University Thesis Title: Robust Monetary Policy under Model Uncertainty MA in Economics, New Economic School, Moscow, Summa cum Laude M.Sc. in Mathematics/Applied Mathematics, Moscow State University, Department of Mechanics and Mathematics, Summa cum Laude. ACADEMIC POSITIONS 2010-present 2014-present Reader in Economics (UK equivalent of associate professor), Faculty of Economics, University of Cambridge. Fellow of Churchill College, University of Cambridge Fellow of St. Catharine s College, University of Cambridge Assistant Professor of Economics, Economics Department of Columbia University, New York. Teaching Fellow at Harvard University and Harvard Business School. Research Assistant at National Bureau of Economic Research, USA Research Assistant at Harvard Institute for International Development OTHER POSITIONS 2013-present 2013-present Assistant Editor, Econometrics Journal Associate Editor, Journal of Econometrics Associate Editor, Econometrics Journal VISITING POSITIONS 2011,2013 Columbia University, Summer School.
2 2005 Consultant, Federal Reserve Bank of New York Visiting Professor of Economics, New Economic School TEACHING Advanced Econometrics (Topics in Partial Identification, GMM, Factor Models, PhD level course) Econometric Methods (Undergraduate and Masters level course) Introductory Statistics and Probability (Undergraduate level course) Supervising undergraduate students econometric studies (Cambridge system) 2010 Time Series (Undergraduate level course) , 2007, 2009 Introduction to Econometrics II, G6412, (Core graduate level course) 2009 Topics in Econometrics II, G6428 (Topics include: inverse problems in econometrics, factor models, empirical likelihood) , 2011, , Introduction to Econometrics, W3412 (Core undergraduate course) Econometrics of Monetary Policy, G6429 (Applied macro-econometrics course including estimation of DSGE models and structural VAR analysis) Quantitative Methods for Economic Analysis, U4609 (Masters level course) Intermediate Macroeconomics, W3213 (Undergraduate level) 1999 Time Series Analysis (A course for Harvard Kennedy School students) PUBLISHED AND FORTHCOMING PAPERS 1. Searching for Prosperity, Joint with Michael Kremer and James Stock, Carnegie- Rochester Conference Series on Public Policy Vol. 55, December, Robust Monetary Policy under Model Uncertainty in a Small Model of the US Economy, Joint with James Stock, Macroeconomic Dynamics, Vol. 6, No. 1, 2002
3 3. Modeling Model Uncertainty, Joint with Noah Williams, Journal of European Economic Association Vol. 1, No. 5, Monetary Policy under Uncertainty in Microfounded Macroeconometric Models, Joint with Andrew Levin, Noah Williams, and John Williams, Macro Annual 2005, MIT press 5. Winding Number Criterion for Existence and Uniqueness of Equilibrium in Linear Rational Expectations Models, Journal of Economic Dynamics and Control, 30, pp , Curve Forecasting by Functional Autoregression, Joint with Vladislav Kargin, Journal of Multivariate Analysis, 99, Issue 10, pp , The Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices, Annals of Applied Probability, Vol. 18, No. 2, , A formal statistical test for the number of factors in the approximate factor models, Econometrica 77 (5), , Empirical and Policy Performance of a Forward-Looking Monetary Model, Joint with Noah Williams, Journal of Applied Econometrics 25 (10), pp , Determining the number of factors from empirical distribution of eigenvalues, Review of Economics and Statistics 92 (4), pp , Unit roots in white noise, Joint with H. Uhlig, Journal of Econometric Theory, 28 (03), , Set coverage and robust policy, Joint with M. Henry, Economics Letters 115, , Asymptotics of the principal components estimator of large factor models with weakly influential factors, Journal of Econometrics 168, , Factor Analysis of a Large DSGE Model, joint with Francisco J. Ruge-Murcia, Journal of Applied Econometrics 28, Asymptotic power of sphericity tests for high-dimensional data, joint with Marcelo J. Moreira and Marc Hallin, Annals of Statistics 41, , Signal Detection in High Dimension: The Multispiked Case, with Marc Hallin and Marcelo J. Moreira, Annals of Statistics 42, , Detection of Weak Signals in High-dimensional Complex Valued Data, Random Matrices: Theory and Applications 3, No.1, Asymptotic Analysis of the Squared Estimation Error in Misspecified Factor Models. Forthcoming in the Journal of Econometrics. OTHER PUBLISHED WORK
4 19. Model Uncertainty, An article for The New Palgrave Dictionary of Economics, Second Edition, Discussion of Y. Fan et al. Journal of The Royal Statistical Society, Series B, SELECTED WORKING PAPERS Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model, with Marc Hallin and Marcelo J. Moreira. Local Asymptotic Normality of the spectrum of high-dimensional spiked F- ratios, with Prathapasinghe Dharmawansa and Iain M. Johnstone. SCHOLARSHIPS, PRIZES AND AWARDS Zellner Award for the best paper in theoretical econometrics published by the Journal of Econometrics in 2012 or Keynes Fellowship Award 2008 Certificate of Appreciation for Excellence in Graduate Teaching, Awarded by the Association of Graduate Economic Students of Columbia University 2003 Award for the Best Graduate Teacher, Awarded by the Association of Graduate Economic Students of Columbia University 2002 Outstanding Graduate Teaching Award from the Association of Graduate Economic Students of Columbia University 2002 Summer Research Fellowship awarded by the Faculty Development Committee of Columbia University Graduate Student Fellowship, Economics Department of Harvard University 1996 Merle Fainsod Prize, Davis Center for Russian and Eurasian Studies at Harvard. Awarded to top incoming graduate students in the field of Russian, Soviet, or post-soviet studies PHD ADVISING 2014 Ekaterina Smetanina (dissertation advisor) 2014 Lukas Laffers (dissertation advisor) 2012 Frank DiTraglia (a member of dissertation committee) 2011 Heather Battey (a member of dissertation committee) 2009 Simeon Tsonev (dissertation sponsor) 2008 Yuki Sakasai (inside reader on the dissertation committee) 2007 Sungjun Cho (outside reader on the dissertation committee)
5 2006 Marcos Alvarez Diaz (inside reader on the dissertation committee) 2004 Seonghoon Cho (outside reader on the dissertation committee) 2003 Antonio Moreno (inside reader on the dissertation committee) 2002 Francesco Saraceno (inside reader on the dissertation committee) 2002 Anton Granik (dissertation sponsor) 2002 Niklas Westelius (outside reader on the dissertation committee) PROFESSIONAL INTERESTS Econometrics of Large Dimensional Data, Asymptotic Statistics, Model Selection, Time Series, Random Matrix Theory, Functional Data Analysis, Monetary Policy and Robust Control, Model Uncertainty in Macroeconomics and Finance. REFEREEING ACTIVITY Econometrica, Review of Economics and Statistics, Journal of Econometrics, Journal of the American Statistical Association, Annals of Statistics, Journal of Monetary Economics, Journal of Economic Dynamics and Control, American Economic Review, Journal of European Economic Association, The Economic Journal, The Journal of Applied Econometrics, Journal of Money, Credit and Banking, Review of Economic Dynamics, Journal of Multivariate Analysis, Econometrics Journal, National Science Foundation, Econometric Theory, Electronic Communications in Probability. OTHER Director of Teaching, Faculty of Economics, University of Cambridge. Member of the Faculty Board, University of Cambridge Member of the Teaching Committee, Faculty of Economics, University of Cambridge Programme Committee Member for the conferences of the Royal Economic Society Member of the Finance Committee at St. Catharine s College, University of Cambridge ( ) Econometrics Subject Group coordinator at the Faculty of Economics, University of Cambridge ( ). Graduate placement director ( ) at the Faculty of Economics PERSONAL INFORMATION Date of Birth: 17 June 1969 Languages: Russian (native), English (Fluent), French (Basic) Immigration status: Permanent resident of the USA (Green Card)
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