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
SN - 0266-4666
VL - 27
SP - 907
EP - 911
JO - Econometric Theory
JF - Econometric Theory
IS - 4
ER -