Some Monte Carlo results on nonparametric changepoint tests

Edward J. Bryden, John Carlson () and Ben Craig

No 9517, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

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.

Keywords: Inflation (Finance); Statistics; time series analysis (search for similar items in EconPapers)
Date: 1995
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