This paper sheds light on a poorly understood phenomenon in microfinance which is often referred to as "mission drift": A tendency reviewd by numerous microfinance institutions to extend larger average loan sizes in the process of scaling-up. . We argue that this phenomenon is not driven by...

Newey, Steigerwald (1997) considered a univariate conditionally heteroscedastic model, with independent and identically distributed errors. They showed that the parameters characterizing the serial dependence are consistently estimated by any pseudo maximum likelihood approach, whenever two...

In a transformation model $\by_t = c [\ba(\bx_t,\bbeta), \bu_t]$, where the errors $\bu_t$ are i.i.d and independent of the explanatory variables $\bx_t$, the parameters can be estimated by a pseudo-maximum likelihood (PML) method, that is, by using a misspecified distribution of the errors, but...

We prove the uniqueness of linear i.i.d. representations of heavy-tailed processes whose distribution belongs to the domain of attraction of an $\alpha$-stable law, with $\alpha2$. This shows the possibility to identify nonparametrically both the sequence of two-sided moving average coefficients...

The noncausal autoregressive process with heavy-tailed errors possesses a nonlinear causal dynamics, which allows for %unit root, local explosion or asymmetric cycles often observed in economic and financial time series. It provides a new model for multiple local explosions in a strictly...