Bootstrapping multivariate spectra

Review of Economics and Statistics

Volumn 80, Issue 4, 1998, Pages 664-666

  Berkowitz, Jeremy ^a   Diebold, Francis X ^b  

^a FEDERAL RESERVE BOARD   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0005580691     PISSN: 00346535     EISSN: None     Source Type: Journal    
DOI: 10.1162/003465398557753     Document Type: Article

References (9)

1. Beltrao, K. I., and Bloomfield, P., (1987), "Determining the Bandwidth of a Kernel Spectrum Estimate," Journal of Time Series Analysis 8, 21-38.
2. Brillinger, D. R., Time Series: Data Analysis and Theory (Expanded Edition), (New York: McGraw-Hill, 1981).
3. Brockwell, P. J., and Davis, R. A., Time Series: Theory and Methods, Second Edition, (New York: Springer-Verlag, 1992).
4. Diebold, F. X., Ohanian, L. E., and Berkowitz, J., "Dynamic Equilibrium Economies: A Framework for Comparing Models and Data," Review of Economic Studies 65 (1998), 433-452.
5. Franke, J., and Hädle, W. (1992), "On Bootstrapping Kernel Spectral Estimates," Annals of Statistics 20, 121-145.
6. Künsch, H. R., "The Jackknife and the Bootstrap for General Stationary Observations," Annals of Statistics 17 (1989), 1217-1241.
7. Liu, R. Y., and Singh, K., "Moving Blocks Jacknife and Bootstrap Capture Weak Dependence," in R. LePage and L. Billard (Eds.), Exploring the Limits of the Bootstrap, (New York: John Wiley, 1992).
8. Politis, D. N., and Romano, J. P., "A General Resampling Scheme for Triangular Arrays of α-Mixing Random Variables with an Application to the Problem of Spectral Density Estimation," Annals of Statistics 20 (1992), 1985-2007.
9. Wright, J. H. (1997), "Frequency Domain Inference for Impulse Responses," Manuscript, Department of Economics, University of Virginia.