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Some Monte Carlo results on nonparametric changepoint tests

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  • Edward J. Bryden
  • John B. Carlson
  • Ben R. Craig

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.

Suggested Citation

  • Edward J. Bryden & John B. Carlson & Ben R. Craig, 1995. "Some Monte Carlo results on nonparametric changepoint tests," Working Papers (Old Series) 9517, Federal Reserve Bank of Cleveland.
    • Handle: RePEc:fip:fedcwp:9517
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    References listed on IDEAS

    as
    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.
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    Cited by:

    1. Mohamed Salah Eddine Arrouch & Echarif Elharfaoui & Joseph Ngatchou-Wandji, 2023. "Change-Point Detection in the Volatility of Conditional Heteroscedastic Autoregressive Nonlinear Models," Mathematics, MDPI, vol. 11(18), pages 1-31, September.

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