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;φ). 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.