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Franke, Jürgen
Kreiss, Jens-Peter
Mammen, Enno
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SFB 373 Discussion Paper 1997,20
Kernel smoothing in nonparametric autoregressive schemes offers a powerful tool in modelling time series. In this paper it is shown that the bootstrap can be used for estimating the distribution of kernel smoothers. This can be done by mimicking the stochastic nature of the whole process in the bootstrap resampling or by generating a simple regression model. Consistency of these bootstrap procedures will be shown.
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Working Paper

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