A MARKOVIAN LOCAL RESAMPLING SCHEME FOR NONPARAMETRIC ESTIMATORS IN TIME SERIES ANALYSIS

Efstathios Paparoditis and Dimitris N. Politis

Econometric Theory, 2001, vol. 17, issue 03, pages 540-566

Abstract: 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.

Date: 2001
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:17:y:2001:i:03:p:540-566_17

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