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Comment On “Weak Convergence To A Matrix Stochastic Integral With Stable Processes”

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  • Paulauskas, Vygantas
  • Rachev, Svetlozar T.
  • Fabozzi, Frank J.

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.

Suggested Citation

  • Paulauskas, Vygantas & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Comment On “Weak Convergence To A Matrix Stochastic Integral With Stable Processes”," Econometric Theory, Cambridge University Press, vol. 27(4), pages 907-911, August.
    • Handle: RePEc:cup:etheor:v:27:y:2011:i:04:p:907-911_00
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    Cited by:

    1. Cappuccio, Nunzio & Lubian, Diego & Mistrorigo, Mirko, 2015. "The power of unit root tests under local-to-finite variance errors," Chaos, Solitons & Fractals, Elsevier, vol. 76(C), pages 205-217.

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