## Cointegrated processes with infinite variance innovations.(English)Zbl 0941.62092

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 J.Y. Park and {it P.C.B. Phillips} [Econometric Theory 4, No. 3, 468-497 (1988)].

### MSC:

 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 60F17 Functional limit theorems; invariance principles 62P20 Applications of statistics to economics
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### References:

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