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Bootstrapping Multivariate Spectra

Jeremy Berkowitz1,2; Francis X. Diebold3

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

The Review of Economics and Statistics 1998

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 (4)
Pages
664-666
Language
en
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