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Testing for structural breaks in the variance of estimators

Author

Listed:
  • Alaa Abi Morshed

    (Tilburg University)

Abstract

In this paper, we shed light on breaks in the variance of estimators. To that end, we propose a sup-Wald structural break test for the variance of OLS estimators in a linear regression. The asymptotic distribution of our test is pivotal, although it is different from the standard asymptotic distributions of break point tests, at least for the heteroskedastic case. To obtain relevant critical values, we employ bootstrap methods . Additionally, a simulation study shows that our tests enjoy satisfactory empirical size and power properties.

Suggested Citation

  • Alaa Abi Morshed, 2026. "Testing for structural breaks in the variance of estimators," Economics Bulletin, AccessEcon, vol. 46(3), pages 1246-1265.
    • Handle: RePEc:ebl:ecbull:eb-24-00414
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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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