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COMMENT ON “WEAK CONVERGENCE TO A MATRIXSTOCHASTIC INTEGRAL WITH STABLEPROCESSES”

Published online by Cambridge University Press:  03 March 2011

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

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In this comment we identify a lacuna in a proof in thepaper by M. Caner published in 1997 inEconometric Theory concerning theweak limit behavior of various expressions involvingheavy-tailed multivariate vectors and theconvergence of stochastic integrals. In a laterpaper (Caner, 1998) the results for these limitrelations are used to formulate tests forcointegration with infinite variance errors.

Information

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

Footnotes

The authors are grateful to the three anonymousreferees and the editor for fruitful discussionsthat led to a substantial improvement of thiscomment.

References

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