A central question in class action litigation is all or nearly all proposed class members were injured by the alleged conduct, that is, does "common impact" exist. In this paper, we demonstrate that a two-step econometric methodology can be used to estimate customer-level overcharges, providing...

We introduce a nonlinear semi-parametric model that allows for the robust filtering of a common stochastic trend in a multivariate system of cointegrated time series. The observation-driven stochastic trend can be specified using flexible updating mechanisms. The model provides a general...

We introduce a nonlinear semi-parametric model that allows for the robust filtering of a common stochastic trend in a multivariate system of cointegrated time series. The observation-driven stochastic trend can be specified using flexible updating mechanisms. The model provides a general...