Cointegrated processes with infinite variance innovations (Q1296604): Difference between revisions

Recently, stable non-Gaussian processes are used to model some important economics variables (in finance or macroeconomics). The authors apply this approach to cointegration theory and obtain a proof of the main asymptotic result under the assumption that innovations are independent, identically distributed and are in the domain of attraction of an \((\alpha_1, \ldots ,\alpha_r)\)-stable law. The paper generalizes some of the results of \textit{J.Y. Park} and {it P.C.B. Phillips} [Econometric Theory 4, No. 3, 468-497 (1988)].