Bootstrapping Multivariate Spectra

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. Acknowledgments: We gratefully acknowledge helpful comments from the Co-Editor (Jim Stock), two referees, Bill Brown, Jin Hahn and Danny Quah. All remaining flaws are ours. We thank the National Science Foundation, the Sloan Foundation and the University of Pennsylvania Research Foundation for support. I( j) 1 2 f( j) 2 2, f( j) j I( j) f̂( j) 2I( j) f( j) j 2 2 j 2 j T , j 1, ..., T 2 1. -1