Bootstrapping Multivariate Spectra
将Franke-Härdle谱密度Bootstrap方法推广到多元情形，用于频域计量经济学中跨变量动态交互分析，并通过蒙特卡洛实验验证其有限样本性能。
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