Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66306
Authors: 
Sommerfeld, Volker
Year of Publication: 
1997
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,22
Abstract: 
We construct pointwise confidence intervals for regression functions. The method uses nonparametric kernel estimates and the moment-oriented bootstrap method of Bunke which is a wild bootstrap based on smoothed local estimators of higher order error moments. We show that our bootstrap consistently estimates the distribution of mh(x0) - m(xo). In the present paper we focus on fully data-driven procedures and prove that the confidence intervals give asymptotically correct coverage probabilities.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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