In this paper we study the properties of a pth-order Markovian local resampling procedure in approximating the distribution of nonparametric (kernel) estimators of the conditional expectation m(x; ). Under certain regularity conditions, asymptotic validity of the proposed resampling scheme is established for a class of stochastic processes that is broader than the class of stationary Markov processes. Some simulations illustrate the finite sample performance of the proposed resampling procedure.
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Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 17 (2001) Issue (Month): 03 (June) Pages: 540-566 Download reference. The following formats are available: HTML
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