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Nonparametric bootstrap analysis with applications to demographic effects in demand functions. (English) Zbl 0904.62049
Summary: A new bootstrap proposal, labeled smooth conditional moment (SCM) bootstrap, is introduced for independent but not necessarily identically distributed data, where the classical bootstrap procedure fails. The procedure is shown to encompass the i.i.d. and wild bootstrap procedures as special cases. The SCM bootstrap is applied to the construction of confidence intervals for nonparametric equivalence scales estimates, and of critical values for consistent nonparametric test statistics. In both cases, the bootstrap approximations to the small sample properties are usually far superior to those provided by the first-order asymptotic approximations.

MSC:
62G09 Nonparametric statistical resampling methods
62G07 Density estimation
62P20 Applications of statistics to economics
62G10 Nonparametric hypothesis testing
62G15 Nonparametric tolerance and confidence regions
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