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Prof. Offer Lieberman

Telephone
+972-3-5317921
Fax
+972-3-7384034
Email
Offer.Lieberman@gmail.com
Office
306 ; Building: 504
Reception Hours
By appointment in advance by e-mail
PO Box
14
Research Categories
Econometric Theory and Practice
CV

Personal Details

Name Offer Lieberman
   
Office Address and Phone Department of Economics, Bar-Ilan University, Ramat Gan, 52900, Israel. (Phone) 972-3-5317921
Electronic Address offer.lieberman@gmail.com
Telefax Number 972-4-7384034

Higher Education

1993 Ph.D. in Econometrics, Monash University, Melbourne, Australia.
1990 M.Com. in Economics (with first class honors), University of Canterbury, New Zealand.
1989 B.Com. in Economics, University of Canterbury, New Zealand.

Academic Ranks and Tenure in Institutes of Higher Education

2017-2018 (fall) Visiting Professor, Cowles Foundation for Research in Economics, Yale University.
2012-present Tenured Professor, Department of Economics, Bar-Ilan University.
2007-2012 Tenured Professor, Department of Economics, Haifa University.
2001-2002 Visiting Professor, Cowles Foundation for Research in Economics, Yale University.
2000-2001 (spring) Visiting Professor, Department of Economics, University of Iowa.
2000-2001 (fall) Visiting Professor, Cowles Foundation for Research in Economics, Yale University.
2000-2007 Tenured Associate Professor, Faculty of Industrial Engineering and Management, Technion-Israel Institute of Technology.
1999-2000 Tenured Senior Lecturer, Faculty of Industrial Engineering and Management, Technion-Israel Institute of Technology.
1996-1999 Senior Lecturer, Faculty of Industrial Engineering and Management, Technion-Israel Institute of Technology.
1994-1995 Lecturer, Faculty of Industrial Engineering and Management, Technion-Israel Institute of Technology.
1993-1994 Lecturer, Department of Economics, University of Bristol, U.K.
1992-1993 Research Fellow, Centre de Recherche en Economie et Statistique, Paris, France.

Scholarly Positions and Activities

Special Positions

2012-2017 Director and Founder: Research Institute for Econometrics (RIE), Bar-Ilan University.

Membership in Scientific and Professional Associations

2016-present Member of the Israeli Council of Statistics.
1996-present Member of The Econometric Society.
1999-2000 Member of the Board of the Israeli Statistical Association.

Membership in Organising Committees of Scientific Conferences

2017 Member of the program committee of a conference organized by the RIE and the Sir Issac Wolfson Chair on Decision Making and Contest Theory, Ein -Gedi.
2014 Member of the program committee of "Likelihood and Simplicity" conference, Bar-Ilan University.
2011 Member of the program committee of the European Meeting of the Econometric Society, Oslo, Norway.
2009 Member of the program committee of the European Meeting of the Econometric Society, Barcelona, Spain.
2008 Member of the program committee of the European Meeting of the Econometric Society, Milan, Italy.
2007 Member of the program committee of the European Meeting of the Econometric Society, Budapest, Hungary.
2006 Member of the program committee of the European Meeting of the Econometric Society, Vienna, Austria.
2004 Member of the program committee of the European Meeting of the Econometric Society, Madrid, Spain.
1999 Member of the program committee of the European Meeting of the Econometric Society, Santiago de Compostella, Spain.
1998 Member of the organizing committee of a workshop of the Israel Science Foundation on Nonlinear Time Series for Learning, Prediction and Control, Technion.

Editorial Duties

Associate Editor Econometric Theory.
Associate Editor The Econometrics Journal.

Refereeing

Econometrica; The Annals of Statistics; Biometrika; Econometric Theory; Journal of the Royal Statistical Society Series B; Journal of Multivariate Analysis; Journal of Statistical Planning and Inference; Journal of Econometrics; Econometric Reviews; The Econometrics Journal; The Annals of Applied Probability; Probability Theory and Related Fields.

Active Participation in Scholarly Conferences (Selected)

September 2022

January 2022

 

 

June 2021

 

 

January 2021

 

January 2020

 

September 2019

June 2019

 

March 2018

 

June 2017 

Invited Speaker to a conference on Recent developments in spatial/network econometrics, London.

3rd Italian Workshop of Econometrics and Empirical Economics, High-dimensional and Multivariate Econometrics: Theory and Practice Rimini Campus - University of Bologna, Online. Paper Presented: "Inference in a Spatial Autoregressive Model with an Extended Coefficient Range and a Similarity-Based Weight Matrix".

7th RCEA time series workshop, Online from the University of Milano-Bicocca. Paper Presented: "Inference in a Spatial Autoregressive Model with an Extended Coefficient Range and a Similarity-Based Weight Matrix".

ICEEE 2021 Ninth Italian Congress of Econometrics and Empirical Economics, Online from Sardinia. Paper Presented: "LSTUR Regression Theory and the Instability of the Sample Correlation Coefficient Between Financial Return Indices".

Second Italian workshop of Econometrics and Empirical Economics - Time Series Models: Theory and Applications, Venice. Paper presented: "Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices".

Econometrics in the Arena Workshop, University of Verona. Paper Presented: "Hybrid Stochastic Local Unit Roots".

 6th RCEA Time Series Econometrics Workshop, Larnaca, Cyprus. Paper Presented: "Hybrid Stochastic Local Unit Roots".

Tripartite Conference on Econometrics, Singapore Management University. Paper Presented: "Hybrid Stochastic Local Unit Roots".

Econometrics Conference in Honor of Peter C.B. Phillips, University of Cyprus. Paper Presented: "IV and GMM Inference in Endogenous Stochastic Unit Root Models".
May 2016 Southampton Finance and Econometrics Workshop, Southampton. Paper presented: "IV Estimation and Testing of Multivariate Stochastic Unit Root Models".
August 2015 Econometric Society World Meeting, Montreal. Paper presented: "A Similarity Based Model for Ordered Categorical Data".
May 2015 A conference in honor of Grant H. Hillier, Amsterdam. Paper presented: "A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing".
August 2014 Econometric Society European Meeting, Toulouse. Paper presented: "A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing".
January 2014 Likelihood and Simplicity conference, Bar-Ilan University. Paper presented: "A Similarity Based Model for Ordered Categorical Data".
August 2013 Econometric Society European Meeting, Gothenburg. Paper presented: "Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions".
May 2012 Princeton/QUT/SMU Tripartite Conference on Financial Econometrics. Paper presented: "A similarity-based approach to time-varying coefficient nonstationary autoregression".
August 2011 Econometric Society European Meeting, Oslo. Paper presented: "A similarity-based approach to time-varying coefficient nonstationary autoregression".
August 2010 Econometric Society World Meeting, Shanghai. Paper presented: "A similarity-based approach to time-varying coefficient nonstationary autoregression".
August 2009 Econometric Society European Meeting, Barcelona. Paper presented: "Asymptotic theory for maximum likelihood estimation in stationary fractional Gaussian processes, under short-, long- and intermediate memory".
August 2008 Econometric Society European Meeting, Milan. Paper presented: "A complete asymptotic series for the autocovariance function of a long memory process".
August 2007 Econometric Society European Meeting, Budapest. Paper presented: "A similarity-based approach to prediction".
August 2006 Econometric Society European Meeting, Vienna. Paper presented: "Empirical Similarity".
June 2006 International Conference on Time Series Econometrics, Finance and Risk,University of Western Australia, Invited Speaker. Paper presented: "Re ned inference on long memory in realized volatility".
August 2004 Econometric Society European Meeting, Madrid. Paper presented: "On plug-in estimation of long-memory models".
August 2003 Econometric Society European Meeting, Stockholm. Paper presented:
"Higher-order improvement of the parametric bootstrap for long-memory Gaussian processes".
August 1999 Econometric Society European Meeting, Santiago de Compostela. Paper presented: "Valid asymptotic expansions for the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process".
August 1998 Econometric Society European Meeting, Berlin. Paper presented: "Variance noncausality in multivariate GARCH processes".
July 1997 Third International Conference on Financial Econometrics, Juneau. Paper presented: "On variance noncausality and cointegration". (Opening lecture).
December 1996 India and South East Asia Econometric Society meeting, New Delhi. Paper presented: "On variance noncausality and cointegration".
July 1995 Econometric Society Research Council Meeting, Bristol University. Paper presented: "The effect of nonnormality".
June 1995 The Israeli Statistical Association Annual Meeting, Bar-Ilan University. Paper presented: "The effect of nonnormality".
July 1992 Australasian Meetings of the Econometric Society, Monash University. Paper presented: "Saddlepoint approximation for the distribution of a ratio of quadratic forms in normal variables".
July 1991 Australasian Meetings of the Econometric Society, Sydney University. Paper presented: "The optimal size of a preliminary test of linear restrictions in a misspecified regression model".
Publications

  1. Ph.D. Dissertation

    • Thesis title: "High Order Asymptotics in Econometrics". Monash University, 1993

      (English, 145 pages). Advisor: Professor Maxwell L. King.

  2. Articles in Refereed Journals

    1. Published or Accepted

      • Rossi, Francesca and Lieberman, Offer, "Spatial autoregressions with an extended parameter space and similarity-based weights". Journal of Econometrics, in press, https://doi.org/10.1016/j.jeconom.2022.11.010 (29 pages with 8 pages of supplementary content). 
      • Lieberman, Offer and Rossi, Francesca, "Inference in a similarity-based spatial autoregressive model". Accepted for publication in Econometric Reviews (23 pages with 21 pages of supplementary content). 
      • Lieberman, Offer and Phillips, Peter, "Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices". Journal of Econometrics, 227, 25--46, 2022.
      • Lieberman, Offer and Phillips, Peter, "Hybrid Stochastic Local Unit Roots". Journal of Econometrics, 215, 257--285, 2020 (with 22 pages of supplementary content).
      • Gayer, Gabi, Lieberman, Offer and Yaffe, Omer, "A similarity based model for ordered categorical data". Econometric Reviews, 38, 263--278, 2019 (with 19 pages of supplementary content).
      • Lieberman, Offer and Phillips, Peter, "IV and GMM inference in endogenous stochastic unit root models". Econometric Theory, 34, 1065--1100, 2018.
      • Lieberman, Offer and Phillips, Peter, "A multivariate stochastic unit root model with an application to derivative pricing". Journal of Econometrics, 196, 99--110 (with 44 pages of supplementary content), 2017.
      • Lieberman, Offer and Phillips, Peter, "Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions". Journal of Time Series Analysis, 35, 592--623, 2014.
      • Levy, Ariel and Lieberman, Offer, "Overreaction of Country ETFs to US Market Returns: Intraday vs. Daily Horizons and the Role of Synchronized Trading". Journal of Banking and Finance, 37, No. 5, 1412-1421, 2013.
      • Lieberman, Offer, "A similarity-based approach to time-varying coefficient nonstationary autoregression". Journal of Time Series Analysis, 33, 484-502, 2012.
      • Lieberman, Offer, Rosemarin, Roy and Rousseau, Judith, "Asymptotic theory for maximum likelihood estimation of the memory parameter in stationary Gaussian processess". Econometric Theory, 28, No. 2, 457-470, 2012.
      • Gilboa, Itzhak, Lieberman, Offer and Schmeidler, David, "A similarity-based approach to prediction". Journal of Econometrics, 162, No. 1, 124-131, 2011.
      • Lieberman, Offer, "Asymptotic theory for empirical similarity models". Econometric Theory, 26, No. 4, 1032-1059, 2010.
      • Gilboa, Itzhak, Lieberman, Offer and Schmeidler, David, "On the definition of objective probabilities by empirical similarity". Synthese, 172, No.1, 79-95, 2010.
      • Lieberman, Offer and Phillips, Peter, "A complete asymptotic series for the autocovariance function of a long memory process". Journal of Econometrics, 147, No. 1, 99-103, 2008.
      • McAleer, Michael, Chan, Felix, Hoti, Suhejla and Lieberman, Offer, "Generalized autoregressive conditional correlation". Econometric Theory, 24, No. 6, 1554-1583, 2008.
      • Lieberman, Offer and Phillips, Peter, "Re ned inference on long memory in realized volatility". Econometric Reviews 27, 254-267, 2008.
      • Gayer, Gabrielle, Gilboa, Itzhak and Lieberman, Offer, "Rule-based and cased-based reasoning in housing prices". The B.E. Journal in Theoretical Economics, 7,No. 1 (Advances), Article 10, 2007.
      • Gilboa, Itzhak, Lieberman, Offer and Schmeidler, David, "Empirical Similarity". The Review of Economics and Statistics, 88, No. 3, 433-444, 2006.
      • Andrews, Donald, Lieberman, Offer and Marmer, Vadim, "Higher-order improvement of the parametric bootstrap for long-memory Gaussian processes". Journal of Econometrics, 133, No. 2, 673-702, 2006.
      • Lieberman, Offer and Phillips, Peter, "Expansions for approximate maximum likelihood estimators of the fractional dierence parameter". The Econometrics Journal, 8, 367-379, 2005.
      • Andrews, Donald and Lieberman, Offer, "Valid Edgeworth expansions for the Whittle maximum likelihood estimator for stationary long-memory Gaussian time series". Econometric Theory, 21, No. 4, 710-734, 2005.
      • Lieberman, Offer, "On plug-in estimation of long memory models". Econometric Theory, 21, No. 2, 431-454, 2005.
      • Lieberman, Offer and Phillips, Peter, "Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra". Journal of Time Series Analysis, 25, No. 5, 733-753, 2004.
      • Lieberman, Offer and Phillips, Peter, "Expansions for the distribution of the maximum likelihood estimator of the fractional dierence parameter". Econometric Theory, 20, No. 3, 464-484, 2004.
      • Lieberman, Offer, Rousseau, Judith and Zucker, David, "Valid asymptotic expansions for the maximum likelihood estimator of the parameter of a stationary,Gaussian, strongly dependent process". The Annals of Statistics, 31, No. 2, 586-612, 2003.
      • Comte, Fabienne and Lieberman, Offer, "Asymptotic theory for multivariate GARCH processes". Journal of Multivariate Analysis, 84, 61-84, 2003.
      • Lieberman, Offer, "Penalised maximum likelihood estimation for fractional Gaussian processes". Biometrika, 88, No. 3, 888-894, 2001.
      • Lieberman, Offer, "The exact bias of the log-periodogram regression estimator". Econometric Reviews, 20, No. 3, 369-383, 2001.
      • Lieberman, Offer, Rousseau, Judith and Zucker, David, "Valid Edgeworth expansion for the sample autocorrelation function under long range dependence", Econometric Theory, 17, 257-275, 2001.
      • Zucker, David, Lieberman, Offer and Manor, Orly, \Improved small-sample inference in the mixed linear model: Bartlett correction and adjusted likelihood". Journal of the Royal Statistical Society Series B, 62, Part 4, 827-838, 2000.
      • Comte, Fabienne and Lieberman, Offer, "Second-order noncausality in multivariate GARCH processes". Journal of Time Series Analysis, 21, No. 5, 535-557, 2000.
      • Lieberman, Offer, Rousseau, Judith and Zucker, David, "Small-sample likelihood-based inference in the ARFIMA model", Econometric Theory, 16, No. 2, 231-248, 2000.
      • Lieberman, Offer, Ben-Zion, Uri and Hauser, Shmuel, "A characterization of the price behavior of international dual stocks: an error correction approach", Journal of International Money and Finance, 18, No. 2, 289-304, 1999.
      • Lieberman, Offer, "Strike data with a crisis point", Journal of Quantitative Economics, 14, No. 2, 85-96, 1998.
      • Lieberman, Offer, "From unbiased linear estimating equations to unbiased estimators", Biometrika, 85, No. 2, 244-250, 1998.
      • Lieberman, Offer, "The effect of nonnormality", Econometric Theory, 13, No. 1, 52-78, 1997.
      • Lieberman, Offer and Matyas, Laszlo, "Approximate estimation in nonlinear panel data models", Communications in Statistics, 16, 1177-1195, 1997.
      • Ghysels, Eric and Lieberman, Offer, "Dynamic regression and ltered data series: A Laplace approximation to the effects of filtering in small samples", Econometric Theory, 12, No. 3, 432-457, 1996.
      • Lieberman, Offer, "Saddlepoint approximation for the least squares estimator in first-order autoregression", Biometrika, 81, No. 4, 807-811, 1994.
      • Lieberman, Offer, "A Laplace approximation to the moments of a ratio of quadratic forms", Biometrika, 81, No. 4, 681-690, 1994.
      • Lieberman, Offer, "Saddlepoint approximation for the distribution of a ratio of quadratic forms in normal variables", Journal of the American Statistical Association, 89, No. 427, 924-928, 1994.
      • Lieberman, Offer, "On the approximation of saddlepoint expansions in statistics", Econometric Theory, 10, No. 5, 900-916, 1994.
      • Giles, David and Lieberman, Offer, "Bounds on the effects of heteroscedasticity on the Chow test for structural change", Communication in Statistics: Theory and Methods, 22, No. 3, 687-703, 1993.
      • Giles, David and Lieberman, Offer, "Some properties of the Durbin-Watson test after a preliminary t-test", Journal of Statistical Computation and Simulation, 41, No. 3, 219-227, 1992.
      • Giles, David, Lieberman, Offer and Giles, Judy, "The optimal size of a preliminary test of linear restrictions in a misspecified regression model", Journal of the American Statistical Association, 87, No. 420, 1153-1157, 1992.
      • Giles, Judy and Lieberman, Offer, "The optimal size of a preliminary test for linear restrictions when estimating the regression scale parameter", Economics Letters, 37,25-30, 1991.

  3. Chapters in Books

    • Zucker, David, Rousseau, Judith, Philippe, Anne and Lieberman, Offer, "Asymptotic expansions for long-memory stationary Gaussian processes". In Foundations of Statistical Inference (Haitovsky, Lerche and Ritov, eds.), Physica-Verlag, Heidelberg, 217-227, 2003.
    • Lieberman, Offer and Matyas, Laszlo, "Improved estimation procedures for nonlinear panel data models". In The Econometrics of Panel Data (Matyas and Sevestre,eds.), Kluwers Publishers, Ch. 21, 573-582, 1995.

  4. Other Scientific Publications

    • Lieberman, Offer, a book review on Asymptotic Theory for Statistical Inference for Time Series, by Taniguchi, Masanobu and Kakizawa, Yoshihide. Springer, New York, 2000. Econometric Theory, 18, No. 4, 993-999, 2002.
    • Lieberman, Offer, Ullah Aman and Brennig, Robert, "On the bias of standard errors of the Ls residual and the regression coecients under the nonnormal errors",Econometric Theory, Problems and Solutions Section, 13, No. 6, 896-897, 1997.
    • Lieberman, Offer, "Approximation to GARCH", Econometric Theory, Problems and Solutions tion, 12, No. 2, 396-401, 1996.
Research

Econometric Theory, Econometric Practice, Time Series Analysis

Last Updated Date : 17/02/2023