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  5. Bootstrapping Multivariate Spectra
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dc.contributor.authorBerkowitz, Jeremy-
dc.contributor.authorDiebold, Francis X.-
dc.date.accessioned2006-06-22T13:54:02Z-
dc.date.available2006-06-22T13:54:02Z-
dc.date.issued1997-08-23-
dc.identifier.urihttp://hdl.handle.net/2451/14782-
dc.description.abstractWe 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.en
dc.format.extent113663 bytes-
dc.format.mimetypeapplication/pdf-
dc.languageEnglishEN
dc.language.isoen
dc.publisherStern School of Business, New York Universityen
dc.relation.ispartofseriesSOR-98-9en
dc.titleBootstrapping Multivariate Spectraen
dc.typeWorking Paperen
dc.description.seriesStatistics Working Papers SeriesEN
Appears in Collections:IOMS: Statistics Working Papers

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