Bootstrapping Multivariate Spectra
Diebold, Francis X.
|Publisher:||Stern School of Business, New York University|
|Abstract:||We generalize the Franke-HÃÂ¤rdle (1992) spectral density bootstrap to the multivariate case. The extension is non-trivial and facilitates use of the Franke-HÃÂ¤rdle bootstrap in frequency-domain econometric work, which often centers on cross-variable dynamic interactions. We document the bootstrapÃ¢ÂÂs 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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