The Review of Economics and Statistics Vol. 80 No. 4 1998

Bootstrapping Multivariate Spectra

Jeremy Berkowitz^1,2; Francis X. Diebold³

¹ Federal Reserve · ² Federal Reserve Board of Governors · ³ University of Pennsylvania

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.

DOI

10.1162/003465398557753

Volume

80

Issue

4

Pages

664-666

Language

en

Sources

openalex crossref

Cite

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