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Working Paper

Some Monte Carlo Results on Nonparametric Changepoint Tests

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For long periods since 1982, core inflation has behaved as if it were generated by a process with a fixed mean and serially independent error term. Nonparametric changepoint tests proposed by Pettitt (1979) and Lombard (1987) suggest that since 1982, changes in core inflation have been infrequent and rather abrupt. However, little is known about the small-sample properties, the power of the tests, or the robustness of changepoint tests when a series is not i.i.d. This paper uses Monte Carlo analysis to investigate the probabilities of false positive tests under alternative assumptions about the time-series properties of the underlying process.
12.01.1995ISSN 2573-7953 WP 95-17DOI 10.26509/frbc-wp-199517

Working Papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded official Federal Reserve Bank of Cleveland publications. The views expressed in this paper are those of the authors and do not represent the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System.

Suggested Citation

Bryden, Edward J., John B. Carlson, and Ben R. Craig. 1995. “Some Monte Carlo Results on Nonparametric Changepoint Tests.” Federal Reserve Bank of Cleveland, Working Paper No. 95-17. https://doi.org/10.26509/frbc-wp-199517