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Some Monte Carlo results on nonparametric changepoint tests

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Author Info
Edward Bryden
John B. Carlson
Ben Craig

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Abstract

An examination of the small-sample properties of nonparametric changepoint tests using Monte Carlo analysis to investigate the probabilities of false-positive tests under alternative assumptions about the time-series properties of the underlying process. ; An analysis of whether depositor preference legislation reduced the FDIC's failed-bank resolution costs in 1984-92, and whether nondepositors' responses may have partially undone the intended benefits of such legislation.

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Publisher Info
Paper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number 9517.

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Date of creation: 1995
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Handle: RePEc:fip:fedcwp:9517

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Keywords: Inflation (Finance) ; Statistics ; Time-series analysis;

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  1. Michael F. Bryan & Stephen G. Cecchetti, 1994. "Measuring Core Inflation," NBER Chapters, in: Monetary Policy, pages 195-219 National Bureau of Economic Research, Inc. [Downloadable!]
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This page was last updated on 2009-12-31.


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