COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”

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

Econometric Theory, 2011, vol. 27, issue 4, 907-911

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.

Date: 2011
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