Bootstrapping Multivariate Spectra
11 Pages Posted: 31 Oct 2008
Date Written: August 1997
We generalize the Franke-HÃÂ¤rdle (1992) spectral density bootstrap to themultivariate case. The extension is non-trivial and facilitates use of the Franke-HÃÂ¤rdlebootstrap in frequency-domain econometric work, which often centers on cross-variabledynamic interactions. We document the bootstrapÃ¢ÂÂs good finite-sample performance in asmall Monte Carlo experiment, and we conclude by highlighting key directions for futureresearch.
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