The GMM estimator that is usually employed in the panel data literature, has an unbounded influence function. This means that the estimator is easily influenced by outliers in the data. This paper develops a variant of the GMM estimator that is less sensitive to anomalous observations....

Using US data from June 1984 to July 1999, we show that the impact of firm-specificcharacteristics like size and book-to-price on future excess stock returns varies considerably overtime. The impact can be either positive or negative at different times. This time variation ispartially...

In this paper we consider empirical econometric models for nine brands of fast-moving nondurable consumer product using weekly observed scanning data on market share and distribution conditional on advertising, price, and promotion activities. Since the data show nonstationary characteristics,...

In this paper we consider empirical econometric models for nine brands of a fast-moving nondurable consumer product using weekly observed scanning data on market share and distribution conditional on advertising, price, and promotion activities. Since the data show nonstationary characteristics,...

Using US data from June 1984 to July 1999, we show that the impact of firm-specificcharacteristics like size and book-to-price on future excess stock returns varies considerably overtime. The impact can be either positive or negative at different times. This time variation ispartially...