Comment On “Weak Convergence To A Matrix Stochastic Integral With Stable Processes”
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.
Volume (Year): 27 (2011)
Issue (Month): 04 (August)
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