Bootstrapping Multivariate Spectra
- 1 November 1998
- journal article
- Published by MIT Press in The Review of Economics and Statistics
- Vol. 80 (4) , 664-666
- https://doi.org/10.1162/003465398557753
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 TechnologKeywords
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