Access
Industries Associate Professor of Economics
Research Center Director
New
Economic School
Office 1721-3
Nakhimovsky pr, 47
Moscow 117418,
Russia
Tel: (+7-495) 129-1700 ext. 134
Fax: (+7-495) 129-3722
E-mail:
sanatoly(at)nes.ru
Home page: http://www.nes.ru/~sanatoly/
Curriculum vitae: pdf
Teaching
at NES
see homepage
for all teaching activities
Econometrics
3, Econometrics
4, Topics
in Econometrics,
Applied
Time Series Econometrics
Profile
Assistant
Professor of New Economic School, Stanislav Anatolyev holds a Ph.D. in economics
from the University of Wisconsin-Madison (2000). He graduates from the same University
in 1997 as a M.S. in economics, New Economic School as M.A. in Economics (cum
laude) in 1995 and Moscow Physico-Technical Institute, as M.Sc. in Applied Mathematics
in 1992. Dr. Anatolyev is a laureate of Swedish Professorship Award that is granted
by the Eurasia Foundation and Swedish government. Since 2003, he holds a Chair
of Access Industries Assistant Professor of Economics. In January 2007, Dr. Stanislav
Anatoliev was promoted to the rank of the tenured Associate Professor at the New
Economic School.
Dr. Anatolyev has published his work in such international
journals as Econometrica, Econometric Theory, Economics Letters, Journal of
Business and Economic Statistics, and made presentations at leading international
conferences in economics.
Research
see homepage
for detailed list of publications and other activities
Dr.
Anatolyev's research interests include optimal instruments, bootstrap and empirical
likelihood estimation in time series, estimation and inference under asymmetric
loss, testing for time series predictability, retrospection and monitoring for
structural stability, non-linear time series modeling, and studying dynamics in
Russian financial markets.
Dr. Anatolyev has made several advancements
in the theory of optimal instrumental variables estimation in time series. His
article "The form of the optimal nonlinear instrument for multiperiod conditional
moment restrictions" published in Econometric Theory in 2003, derives the
process followed by the optimal instrument in the general stationary time series
context. In the manuscript "Instrumental variables estimation of heteroskedastic
linear models using all lags of instruments" (with Kenneth West and Ka-fu Wong)
directed to practitioners, the authors develop an algorithm of feasible optimal
linear instrumental variables estimator. Dr. Anatolyev has also prepared a survey
article on optimal instruments in time series, which in addition contains some
new theory and applications.
Another advancement related to estimation
of time series models made by Dr. Anatolyev pertains to the fashionable theory
of empirical likelihood. His article "GMM, GEL, serial correlation, and asymptotic
bias" published in Econometrica in 2005, discusses the phenomenon of biasedness
of various method of moment estimators, such as empirical likelihood and generalized
method of moments, in time series models characterized by serial correlation in
the moment function. This line of research is continued in a related article "Method-of-moments
estimation and choice of instruments".
Other econometric theoretical
research that Dr. Anatolyev does includes work on weak identification, testing
for time series predictability, and other topics. The research on weak identification
has emerged in the note "Inference when a nuisance parameter is weakly identified
under the null hypothesis" published in Economics Letters in 2004, while
the research on predictability has lead to the article "A trading approach to
testing for predictability" (with Alexander Gerko), forthcoming in Journal
of Business and Economic Statistics. Currently, Dr. Anatolyev is working to
generalize the ideas expressed in the latter article, to construct a general class
of predictability tests, and adapt them to a retrospective and monitoring situations.
Last, but not least, Dr. Anatolyev has published numerous research-level problems
in a special section of Econometric Theory.
Dr. Anatolyev also
pursues applied research studying dynamics and predictability of Russian and other
financial data. Last year, while visiting the Bank of Finland, he did research
on the stability of the Russian stock market. His research projects at NES during
2002-2006 have generated a lot of interesting results. This line of research will
be continued in the academic year 2006-2007.
