Offer Lieberman

CFDPs

CFDP 2151 Offer Lieberman, Peter C. B. Phillips, "Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices," (June 2018) [39pp, Abstract]
CFDP 2113 Offer Lieberman, Peter C. B. Phillips, "Hybrid Stochastic Local Unit Roots," (December 2017) [39pp, Abstract]
CFDP 2061 Offer Lieberman, Peter C. B. Phillips, "IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models," (December 2016) [45pp, Abstract] (See: CFP1610)
CFDP 1964 Offer Lieberman, Peter C. B. Phillips, "A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing," (December 2014) [56pp, Abstract]
CFDP 1916 Offer Lieberman, Peter C. B. Phillips, "Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions," (September 2013) [48pp, Abstract] (See: 1454)
CFDP 1586 Offer Lieberman, Peter C. B. Phillips, "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process," (October 2006) [22pp, Abstract] (See: 1247)
CFDP 1549 Offer Lieberman, Peter C. B. Phillips, "Refined Inference on Long Memory in Realized Volatility," (January 2006) [15pp, Abstract]
CFDP 1493 Gabrielle Gayer, Itzhak Gilboa, Offer Lieberman, "Rule-based and Case-based Reasoning in Housing Prices," (November 2004) [34pp, Abstract]
CFDP 1486 Itzhak Gilboa, Offer Lieberman, David Schmeidler, "Empirical Similarity," (October 2004) [38pp, Abstract]
CFDP 1474 Offer Lieberman, Peter C. B. Phillips, "Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter," (July 2004) [19pp, Abstract] (See: 1157)

CFPs

CFP 1610 Offer Lieberman, Peter C. B. Phillips, "IV and GMM Inference in Endogenous Stochastic Unit Root Models," Econometric Theory, (October 2018), 34(5): 1065-1100 (See CFDP 2061)
CFP 1552 Offer Lieberman, Peter C. B. Phillips, "A multivariate stochastic unit root model with an application to derivative pricing," Journal of Econometrics, (January 2017), 196(1): 99-110
CFP 1454 Offer Lieberman, Peter C. B. Phillips, "Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions," Journal of Time Series Analysis, (November 2014), 35(6): 592-623 (See CFDP 1916)
CFP 1248 Offer Lieberman, Peter C. B. Phillips, "Refined Inference on Long Memory in Realized Volatility," Econometric Reviews, (January 2008), 27(1-3): 254-267 (See CFDP 1549)
CFP 1247 Offer Lieberman, Peter C. B. Phillips, "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process," Journal of Econometrics, (November 2008), 147(1): 99-103 (See CFDP 1586)
CFP 1162 Offer Lieberman, Donald W. K. Andrews, "Valid Edgeworth Expansions for the Whittle Maximum Likelihood Estimator for Stationary Long-memory Gaussian Time Series," Econometric Theory, (August 2005), 21(4): 710-734 (See CFDP 1361)
CFP 1157 Offer Lieberman, Peter C. B. Phillips, "Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter," Econometrics Journal, (November 2005), 8(3): 367-379 (See CFDP 1474)
CFP 1141 Offer Lieberman, Peter C. B. Phillips, "Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra," Journal of Time Series Analysis, (September 2004), 25(5): 733-753 (See CFDP 1374)