Bootstrapping Multivariate Spectra

Abstract

We generalize the Franke-Härdle (1992) spectral density bootstrap to the multivariate case. The extension is non-trivial and facilitates use of the Franke-Härdle bootstrap in frequency-domain econometric work, which often centers on cross-variable 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.