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| Title: | 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 bootstrapâÂÂs good finite-sample performance in a small Monte Carlo experiment, and we conclude by highlighting key directions for future research. |
| URI: | http://hdl.handle.net/2451/14782 |
| Appears in Collections: | IOMS: Statistics Working Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| SOR-98-9.pdf | 111 kB | Adobe PDF | View/Open |
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