Bootstrapping Multivariate Spectra

Jeremy Berkowitz and Francis Diebold

The Review of Economics and Statistics, 1998, vol. 80, issue 4, 664-666

Abstract: We generalize the Franke-Härdle (1992) spectral-density bootstrap to the multivariate case. The extension is nontrivial and facilitates use of the Franke-Härdle bootstrap in frequency-domain econometric work, which often centers on crossvariable dynamic interactions. We document the bootstrap's good finite-sample performance in a small Monte Carlo experiment, and we conclude by highlighting key directions for future research. © 1998 by the President and Fellows of Harvard College and the Massachusetts Institute of Technolog

Date: 1998
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