Comment on ”weak convergence to a matrix stochastic integral with stable processes

Abstract. In this paper we identify a lacuna in a proof in the paper by M. Caner published in 1997 in this Journal 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) uses results for these limit relations to formulate tests for cointegration with infinite variance errors

On Beveridge-Nelson decomposition and limit theorems for linear random fields

We consider linear random fields and show how an analogue of the Beveridge-Nelson decomposition can be applied to prove limit theorems for sums of such fields.Limit theorems Random fields