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COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”

Published online by Cambridge University Press:  03 March 2011

Vygantas Paulauskas ,
Svetlozar T. Rachev  and
Frank J. Fabozzi
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Abstract

In this comment we identify a lacuna in a proof in the paper by M. Caner published in 1997 in Econometric Theory concerning the weak limit behavior of various expressions involving heavy-tailed multivariate vectors and the convergence of stochastic integrals. In a later paper (Caner, 1998) the results for these limit relations are used to formulate tests for cointegration with infinite variance errors.

Type
Brief Report
Information
Econometric Theory , Volume 27 , Issue 4 , August 2011 , pp. 907 - 911
Copyright
Copyright © Cambridge University Press 2011

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Footnotes

The authors are grateful to the three anonymous referees and the editor for fruitful discussions that led to a substantial improvement of this comment.

References

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