Prediction, in regression and classification, is one of the main aims in modern data science. When the number of predictors is large, a common first step is to reduce the dimension of the data. Sufficient dimension reduction (SDR) is a well established paradigm of reduction that keeps all the relevant information in the covariates X that is necessary for the prediction of Y . In practice, SDR has been successfully used as an exploratory tool for modelling after estimation of the sufficient reduction. Nevertheless, even if the estimated reduction is a consistent estimator of the population, there is no theory that supports this step when non-parametric regression is used in the imputed estimator. In this paper, we show that the asymptotic distribution of the non-parametric regression estimator is the same regardless if the true SDR or its estimator is used. This result allows making inferences, for example, computing confidence intervals for the regression function avoiding the curse of dimensionality.

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