IDEAS home Printed from https://ideas.repec.org/p/fip/fedcwp/9517.html
   My bibliography  Save this paper

Some Monte Carlo results on nonparametric changepoint tests

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: https://fraser.stlouisfed.org/scribd/?item_id=494638&filepath=/docs/historical/frbclev/wp/frbclv_wp1995-17.pdf#scribd-open
    File Function: Full text
    Download Restriction: no
    ---><---

    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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Paulo Picchetti & Fabio Kanczuk, 2001. "An Application of Quah And Vaheys Svar Methodology for Estimating Core Inflation in Brazil," Anais do XXIX Encontro Nacional de Economia [Proceedings of the 29th Brazilian Economics Meeting] 019, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    2. N. Neil K. Khettry & Loretta J. Mester, 2006. "Core inflation as a predictor of total inflation," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue Apr.
    3. Prakash Kumar Shrestha, 2006. "Some Measures of Core Inflation and Their Evaluations in Nepal," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 18, pages 37-69, April.
    4. Domenico Giannone & Troy D. Matheson, 2007. "A New Core Inflation Indicator for New Zealand," International Journal of Central Banking, International Journal of Central Banking, vol. 3(4), pages 145-180, December.
    5. repec:fgv:epgrbe:v:65:n:2:a:5 is not listed on IDEAS
    6. Byeongdeuk Jang & Young Se Kim, 2017. "Driving Forces of Inflation Expectations," Korean Economic Review, Korean Economic Association, vol. 33, pages 207-237.
    7. Juan Angel Garcia & Aubrey Poon, 2022. "Inflation trends in Asia: implications for central banks [Are Phillips curves useful for forecasting inflation?]," Oxford Economic Papers, Oxford University Press, vol. 74(3), pages 671-700.
    8. James B. Bullard, 2011. "Measuring inflation: the core is rotten," Review, Federal Reserve Bank of St. Louis, vol. 93(July), pages 223-234.
    9. Mio, Hitoshi, 2002. "Identifying Aggregate Demand and Aggregate Supply Components of Inflation Rate: A Structural Vector Autoregression Analysis for Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(1), pages 33-56, January.
    10. Todd E. Clark, 2001. "Comparing measures of core inflation," Economic Review, Federal Reserve Bank of Kansas City, vol. 86(Q II), pages 5-31.
    11. Scott Roger, 1997. "A robust measure of core inflation in New Zealand, 1949-96," Reserve Bank of New Zealand Discussion Paper Series G97/7, Reserve Bank of New Zealand.
    12. Mark A. Wynne, 2008. "Core inflation: a review of some conceptual issues," Review, Federal Reserve Bank of St. Louis, vol. 90(May), pages 205-228.
    13. Shiratsuka, Shigenori, 2001. "Is There a Desirable Rate of Inflation? A Theoretical and Empirical Survey," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 19(2), pages 49-83, May.
    14. Georgios Antonios Sarantitis & Theophilos Papadimitriou & Periklis Gogas, 2018. "A Network Analysis of the United Kingdom’s Consumer Price Index," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 173-193, February.
    15. Jonathan Kearns, 1998. "The Distribution and Measurement of Inflation," RBA Research Discussion Papers rdp9810, Reserve Bank of Australia.
    16. Julie K. Smith, 2005. "Inflation targeting and core inflation," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 38(3), pages 1018-1036, August.
    17. Iris Claus, 1997. "A Measure of Underlying Inflation in the United States," Staff Working Papers 97-20, Bank of Canada.
    18. Simon Hall & Anthony Yates, 1998. "Are there downward nominal rigidities in product markets?," Bank of England working papers 80, Bank of England.
    19. Lei Lei Song, 2006. "The Comovement between Fuel Prices and the General Price level in Australia," Melbourne Institute Working Paper Series wp2006n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    20. Ribba, Antonio, 2003. "Permanent-transitory decompositions and traditional measures of core inflation," Economics Letters, Elsevier, vol. 81(1), pages 109-116, October.
    21. Brent Meyer & Guhan Venkatu, 2012. "Trimmed-mean inflation statistics: just hit the one in the middle," Working Papers (Old Series) 1217, Federal Reserve Bank of Cleveland.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedcwp:9517. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: 4D Library (email available below). General contact details of provider: https://edirc.repec.org/data/frbclus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.