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| Alaa Abi Morshed |
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| ''Testing for structural breaks in the variance of estimators'' |
| ( 2026, Vol. 0 No.0 ) |
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| 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. |
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| Keywords: variance of estimator, heteroskedasticity, structural change, sup Wald test |
JEL: C1 - Econometric and Statistical Methods: General
C4 - Econometric and Statistical Methods: Special Topics |
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| Manuscript Received : Sep 21 2024 | | Manuscript Accepted : Oct 10 2026 |
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