This paper proposes a simple maximum likelihood regression estimator that outperforms Least Squares in terms of efficiency and mean square error for a large number of skewed and/or heavy tailed error distributions

Articles in the top finance journals largely ignore the potential of outlier-induced bias in empirical research. When finance researchers do address outliers they use techniques that tend to cause additional problems. We illustrate the problems via simulations as well as replications of studies...

This paper makes three contributions. (1) It summarizes in tabular form a recent literature made of 36 micro-econometric studies for 16 different countries on the relationship between export destination and firm performance. (2) It reports estimates of the productivity premium of German firms...

In empirical studies it often happens that some variables for some units are far away from the other observations in the sample. These extreme observations, or outliers, often have a large impact on the results of statistical analyses – conclusions based on a sample with and without these...

This paper proposes a simple maximum likelihood regression estimator that outperforms Least Squares in terms of efficiency and mean square error for a large number of skewed and/or heavy tailed error distributions.