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Bootstrapping Multivariate Spectra

Authors: Berkowitz, Jeremy
Diebold, Francis X.
Issue Date: 23-Aug-1997
Publisher: Stern School of Business, New York University
Series/Report no.: SOR-98-9
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.
Appears in Collections:IOMS: Statistics Working Papers

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