TY - JOUR

T1 - Comment on weak convergence to a matrix stochastic integral with stable processes

AU - Paulauskas, Vygantas

AU - Rachev, Svetlozar T.

AU - Fabozzi, Frank J.

N1 - Publisher Copyright:
Copyright © Cambridge University Press 2011.

PY - 2011/8/1

Y1 - 2011/8/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=79952097431&partnerID=8YFLogxK

U2 - 10.1017/S0266466610000538

DO - 10.1017/S0266466610000538

M3 - Article

AN - SCOPUS:79952097431

VL - 27

SP - 907

EP - 911

JO - Econometric Theory

JF - Econometric Theory

SN - 0266-4666

IS - 4

ER -