Testing for structural breaks in the variance of estimators

Alaa Abi Morshed ()
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Alaa Abi Morshed: Tilburg University

Economics Bulletin, 2026, vol. 46, issue 3, 1246 - 1265

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.

Keywords: variance of estimator; heteroskedasticity; structural change; sup Wald test (search for similar items in EconPapers)
JEL-codes: C1 C4 (search for similar items in EconPapers)
Date: 2026-09-30
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