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Bootstrapping Multivariate Spectra

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  • Jeremy Berkowitz
  • Francis X. Diebold

Abstract

We generalize the Franke-Härdle (1992) spectral-density bootstrap to the multivariate case. The extension is nontrivial and facilitates use of the Franke-Härdle bootstrap in frequency-domain econometric work, which often centers on crossvariable 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. © 1998 by the President and Fellows of Harvard College and the Massachusetts Institute of Technolog

Suggested Citation

  • Jeremy Berkowitz & Francis X. Diebold, 1998. "Bootstrapping Multivariate Spectra," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 664-666, November.
  • Handle: RePEc:tpr:restat:v:80:y:1998:i:4:p:664-666
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    References listed on IDEAS

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    Cited by:

    1. Hiebert, Paul & Peltonen, Tuomas & Schüler, Yves S., 2015. "Characterising the financial cycle: a multivariate and time-varying approach," Working Paper Series 1846, European Central Bank.
    2. Luca Benati, 2003. "Evolving Post-World War II U.K. Economic Performance," Computing in Economics and Finance 2003 171, Society for Computational Economics.
    3. Jeremy Berkowitz & Lutz Kilian, 2000. "Recent developments in bootstrapping time series," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 1-48.
    4. Baumeister, Christiane & Benati, Luca, 2010. "Unconventional monetary policy and the great recession - Estimating the impact of a compression in the yield spread at the zero lower bound," Working Paper Series 1258, European Central Bank.
    5. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 411-435, February.
    6. Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1998. "Dynamic Equilibrium Economies: A Framework for Comparing Models and Data," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 433-451.
    7. Benati, Luca, 2009. "Would the Bundesbank have prevented the Great Inflation in the United States?," Working Paper Series 1134, European Central Bank.
    8. Coenen, Günter & McAdam, Peter & Straub, Roland, 2008. "Tax reform and labour-market performance in the euro area: A simulation-based analysis using the New Area-Wide Model," Journal of Economic Dynamics and Control, Elsevier, pages 2543-2583.
    9. Yener Altunbas & Alper Kara & David Marques-Ibanez, 2010. "Large debt financing: syndicated loans versus corporate bonds," The European Journal of Finance, Taylor & Francis Journals, vol. 16(5), pages 437-458.
    10. Benati, Luca, 2011. "Would the Bundesbank have prevented the Great Inflation in the United States?," Journal of Economic Dynamics and Control, Elsevier, pages 1106-1125.
    11. Lovcha, Yuliya & Pérez Laborda, Àlex, 2013. "Hours worked - Productivity puzzle: identification in fractional integration settings," Working Papers 2072/211796, Universitat Rovira i Virgili, Department of Economics.
    12. Wright, Jonathan H., 1999. "Frequency domain inference for univariate impulse responses," Economics Letters, Elsevier, vol. 63(3), pages 269-277, June.
    13. C. Glocker & G. Sestieri & P. Towbin, 2017. "Time-varying fiscal spending multipliers in the UK," Working papers 643, Banque de France.
    14. Yves S. Schüler & Paul P. Hiebert & Tuomas A. Peltonen, 2017. "Coherent financial cycles for G-7 countries: Why extending credit can be an asset," ESRB Working Paper Series 43, European Systemic Risk Board.
    15. Yuliya Lovcha & Alejandro Perez-Laborda, 2017. "Structural shocks and dynamic elasticities in a long memory model of the US gasoline retail market," Empirical Economics, Springer, pages 405-422.
    16. Lovcha, Yuliya & Pérez Laborda, Alejandro, 2016. "Frequency-Domain Estimation as an Alternative to Pre-Filtering External Cycles in Structural VAR Analysis," Working Papers 2072/290743, Universitat Rovira i Virgili, Department of Economics.
    17. Luca Benati & Peter N. Ireland, 2017. "Money-Multiplier Shocks," Boston College Working Papers in Economics 933, Boston College Department of Economics.
    18. Christiane Baumeister & Luca Benati, 2013. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 165-212, June.
    19. Benati, Luca & Goodhart, Charles, 2008. "Investigating time-variation in the marginal predictive power of the yield spread," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1236-1272, April.
    20. Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.
    21. Benati, Luca, 2007. "The "Great Moderation" in the United Kingdom," Working Paper Series 769, European Central Bank.
    22. Hiebert, Paul & Peltonen, Tuomas & Schüler, Yves S., 2015. "Characterising the financial cycle: a multivariate and time-varying approach," Working Paper Series 1846, European Central Bank.

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