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CENTER for the Study of Diversity and Social Interactions


Stanislav Anatolyev / Станислав Анатольев

Access Industries Professor of Economics

University of Wisconsin-Madison, Ph.D., Economics, 2000
NES, 1995 

CV

Homepage / Домашняя страница

//www.nes.ru/~sanatoly/

Research interests / Исследовательские интересы

Econometrics

Courses taught at NES / Преподавание в РЭШ

Econometrics-3, Econometrics-4, Applied time series econometrics, Topics in econometrics

Contacts

Office #2.39, 100 Novaya Street
Skolkovo, Moscow, Russia, 143025
Phone: +7 (495) 956-95-08 ext.233
E-mail: sanatoly (at) nes.ru

Research:

Articles in refereed journals 

Anatolyev, Stanislav and Kobotaev, Nikita (forthcoming) "Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage"Econometric Reviews

Anatolyev, Stanislav (2013) “Instrumental variables estimation and inference in the presence of many exogenous regressors”, Econometrics Journal, vol. 16, no. 1, pp. 27–72

Abutaliev, Albert and Anatolyev, Stanislav (2013) “Asymptotic variance under many instruments: numerical computations”, Economics Letters, vol. 118, no. 2, pp. 272–274

Anatolyev, Stanislav (2012) “Inference in regression models with many regressors”, Journal of Econometrics, vol. 170, no. 2, pp. 368–382

Anatolyev, Stanislav and Kosenok, Grigory (2011) “Another numerical method of finding critical values for the Andrews stability test”, Econometric Theory, vol. 28, no. 1, pp. 239–246

Anatolyev, Stanislav and Gospodinov, Nikolay (2011) “Specification testing in models with many instruments”, Econometric Theory, vol. 27, no. 2, pp. 427–441

Anatolyev, Stanislav and Gospodinov, Nikolay (2010) “Modeling financial return dynamics via decomposition”, Journal of Business & Economic Statistics, vol. 28, no. 2, pp. 232–245

Anatolyev, Stanislav and Kosenok, Grigory (2009) “Tests in contingency tables as regression tests”, Economics Letters, vol. 105, pp. 189–192

Anatolyev, Stanislav (2009) “Nonparametric retrospection and monitoring of predictability of financial returns”, Journal of Business & Economic Statistics, vol. 27, no. 2, pp. 149–160

Anatolyev, Stanislav (2009) “Multi-market direction-of-change modeling using dependence ratios”, Studies in Nonlinear Dynamics & Econometrics, vol. 13, issue 1, article 5

West, Kenneth D., Wong, Ka-fu, and Anatolyev, Stanislav (2009) “Instrumental variables estimation of heteroskedastic linear models using all lags of instruments”, Econometric Reviews, vol. 28, no. 5, pp. 441–467

Anatolyev, Stanislav (2009) “Robustness of residual-based bootstrap to composition of serially correlated errors”, Journal of Statistical Computation and Simulation, vol. 79, no. 3, pp. 315–320

Anatolyev, Stanislav (2009) “Dynamic modeling under linear-exponential loss”, Economic Modelling, vol. 26, no. 1, pp. 82–89

Anatolyev, Stanislav (2008) “Method-of-moments estimation and choice of instruments: numerical computations”, Economics Letters, vol. 100, no. 2, pp. 217–220

Anatolyev, Stanislav (2008) “A 10-year retrospective on the determinants of Russian stock returns”, Research in International Business and Finance, vol. 22, no. 1, pp. 56–67

Anatolyev, Stanislav and Kitov, Victor (2007) “Using all observations when forecasting under
structural breaks”, Finnish Economic Papers, vol. 20, no. 2, pp. 166–176

Anatolyev, Stanislav (2007) “Redundancy of lagged regressors revisited”, Econometric Theory, vol. 23, no. 2, pp. 364–368

Anatolyev, Stanislav (2007) “Optimal instruments in time series: a survey”, Journal of Economic Surveys, vol. 21, no. 1, pp. 143–173

Anatolyev, Stanislav and Shakin, Dmitry (2007) “Trade intensity in the Russian stock market:
dynamics, distribution and determinants”, Applied Financial Economics, vol. 17, no. 2, pp. 87–104

Anatolyev, Stanislav (2006) “Kernel estimation under linear-exponential loss”, Economics Letters, vol. 91, no. 1, pp. 39–43

Anatolyev, Stanislav (2005) “GMM, GEL, serial correlation and asymptotic bias”, Econometrica, vol. 73, no. 3, pp. 983–1002

Anatolyev, Stanislav and Gerko, Alexander (2005) “A trading approach to testing for predictability”, Journal of Business & Economic Statistics, vol. 23, no. 4, pp. 455–461

Anatolyev, Stanislav and Kosenok, Grigory (2005) “An alternative to maximum likelihood based on spacings”, Econometric Theory, vol. 21, no. 2, pp. 472–476

Anatolyev, Stanislav (2004) “Inference when a nuisance parameter is weakly identified under the null hypothesis”, Economics Letters, vol. 84, no. 2, pp. 245–254

Anatolyev, Stanislav (2003) “The form of the optimal nonlinear instrument for multiperiod conditional moment restrictions”, Econometric Theory, vol. 19, no. 4, pp. 602?609

Anatolyev, Stanislav and Korepanov, Sergey (2003) “The term structure of Russian interest rates”, Applied Economics Letters, vol. 10, no. 13, pp. 867?870

Anatolyev, Stanislav (2003) “Redundancy of lagged regressors in a conditionally heteroskedastic time series regression”, Econometric Theory, vol. 19, no. 1, Problem 03.1.2, pp. 225–226

Anatolyev, Stanislav (2002, 2003) “Autoregression and redundant instruments”, Econometric
Theory, vol. 18, no. 6, Problem 02.6.2, p. 1461; vol. 19, no. 6, Solution 02.6.2, pp. 1197–1198

Anatolyev, Stanislav (2002, 2003) “Durbin–Watson statistic and random individual effects”,
Econometric Theory, vol. 18, no. 5, Problem 02.5.1, pp. 1273–1274; vol. 19, no. 5, Solution 02.5.2, pp. 882–883

Anatolyev, Stanislav and Vasnev, Andrey (2002) “Markov chain approximation in bootstrapping autoregressions”, Economics Bulletin, vol. 3, no. 19, pp. 1?8

Anatolyev, Stanislav (2001, 2002) “Conditional and unconditional correlatedness and
heteroskedasticity”, Econometric Theory, vol. 17, no. 3, Problem 01.3.2, p. 669; vol. 18, no. 3,
Solution 01.3.2, pp. 820–821

Anatolyev, Stanislav (2001) “Serial correlation and asymptotic variance”, Econometric Theory

Articles in Russian 

Anatolyev, Stanislav (2013) “Objects of nonstructural time series modeling”, Quantile, no. 11, pp. 1–11

Anatolyev, Stanislav and Nikolay Gospodinov (2012) “Asymptotics of near unit roots”, Quantile, no. 10, pp. 57–71

Anatolyev, Stanislav (2009) “Nonparametric regression”, Quantile, no. 7, pp. 37–52

Anatolyev, Stanislav and Alexander Tsyplakov (2009) “Where to find data on the Web?” Quantile, no. 6, pp. 59–71

Anatolyev, Stanislav (2008) “Review of English textbooks in time series analysis”, Quantile, no. 5, pp. 49–55

Anatolyev, Stanislav (2008) “Making econometric reports”, Quantile, no. 4, pp. 71–78

Anatolyev, Stanislav (2007) “The basics of bootstrapping”, Quantile, no. 3, pp. 1–12

Anatolyev, Stanislav (2007) “Review of English textbooks in econometrics”, Quantile, no. 3, pp. 73–82

Anatolyev, Stanislav (2007) “Optimal instruments”, Quantile, no. 2, pp. 61–69

Anatolyev, Stanislav (2006) “Testing for predictability”, Quantile, no. 1, pp. 39–44

Anatolyev, Stanislav (2005) “Asymptotic approximations in modern econometrics”, Ekonomika i Matematicheskie Metody, vol. 41, no. 2, pp. 84–94

Books 

Stanislav Anatolyev and Nikolay Gospodinov. Methods for Estimation and Inference in Modern Econometrics. CRC Press, Taylor & Francis. June 06, 2011. 234 pages. ISBN: 9781439838242


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