Second-Moment Structural Breaks*

Second-Moment Structural Breaks* | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article Second-Moment Structural Breaks* Alaa Abi Morshed This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-9310904/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract In this paper, we shed light on second-moment breaks in a regression setting. 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. We employ bootstrap methods to obtain critical values. We further establish the validity of the bootstrap procedure for our test, and simulation results demonstrate that our test exhibits satisfactory size and power properties. JEL classification: C01; C12 variance of estimator heteroskedasticity structural change sup-Wald test Full Text Additional Declarations No competing interests reported. Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. 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Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-9310904","acceptedTermsAndConditions":true,"allowDirectSubmit":true,"archivedVersions":[],"articleType":"Research Article","associatedPublications":[],"authors":[{"id":628142592,"identity":"bc700986-8368-48b5-a7f9-c7c9817f9b1f","order_by":0,"name":"Alaa Abi Morshed","email":"data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAZAAAAAyAQMAAABI0h/eAAAABlBMVEX///8AAABVwtN+AAAACXBIWXMAAA7EAAAOxAGVKw4bAAABFklEQVRIiWNgGAWjYDACdjB5gAdMMTYwMPaDGAkFeLQwo2uZ2QDSYkBYCwNcywYwG48W/mbmhx8Yau7IMIgdPvbx5w4b2c3nVyd+eGDAIM8vdgCrFonDbMYSDMee8TBIpyXP5j2TZrztxtvNEkCHGc6cnYDdmsMMBhIMbIeBWnKMmRnbDiduu3F2A0hLgsFt7FrkD7N//sHwD6KF8Wfb/8TNM85u/oFPi8FhHjMJoOFgLQy8bQcSN/D3bsNri+FhnjKLxL5nPGxAvzDztiUbz7jBu80iwUACp1/kjrdvvvHh2x17funkw0CH2cn295/dfPNHhY08vzQO74MASIoNzpMAq5TArRwT8B8gRfUoGAWjYBSMAAAAmTVe4DIBxWgAAAAASUVORK5CYII=","orcid":"","institution":"","correspondingAuthor":true,"prefix":"","firstName":"Alaa","middleName":"Abi","lastName":"Morshed","suffix":""}],"badges":[],"createdAt":"2026-04-03 08:53:33","currentVersionCode":1,"declarations":"","doi":"10.21203/rs.3.rs-9310904/v1","doiUrl":"https://doi.org/10.21203/rs.3.rs-9310904/v1","draftVersion":[],"editorialEvents":[],"editorialNote":"","failedWorkflow":false,"files":[{"id":107992973,"identity":"0f939066-c4b4-404b-a996-23127d340c25","added_by":"auto","created_at":"2026-04-28 10:34:20","extension":"pdf","order_by":1,"title":"","display":"","copyAsset":false,"role":"manuscript-pdf","size":268225,"visible":true,"origin":"","legend":"","description":"","filename":"SecondMomentStructuralBreaks.pdf","url":"https://assets-eu.researchsquare.com/files/rs-9310904/v1_covered_62a17d64-c05d-4018-aefa-56c9c58afce4.pdf"}],"financialInterests":"No competing interests reported.","formattedTitle":"\u003cp\u003eSecond-Moment Structural Breaks*\u003c/p\u003e","fulltext":[],"fulltextSource":"","fullText":"","funders":[],"hasAdminPriorityOnWorkflow":false,"hasManuscriptDocX":false,"hasOptedInToPreprint":true,"hasPassedJournalQc":"","hasAnyPriority":false,"hideJournal":true,"highlight":"","institution":"","isAcceptedByJournal":false,"isAuthorSuppliedPdf":true,"isDeskRejected":"","isHiddenFromSearch":false,"isInQc":false,"isInWorkflow":false,"isPdf":true,"isPdfUpToDate":true,"isWithdrawnOrRetracted":false,"journal":{"display":true,"email":"[email protected]","identity":"researchsquare","isNatureJournal":false,"hasQc":true,"allowDirectSubmit":true,"externalIdentity":"","sideBox":"","snPcode":"","submissionUrl":"/submission","title":"Research Square","twitterHandle":"researchsquare","acdcEnabled":true,"dfaEnabled":false,"editorialSystem":"","reportingPortfolio":"","inReviewEnabled":false,"inReviewRevisionsEnabled":true},"keywords":"variance of estimator, heteroskedasticity, structural change, sup-Wald test","lastPublishedDoi":"10.21203/rs.3.rs-9310904/v1","lastPublishedDoiUrl":"https://doi.org/10.21203/rs.3.rs-9310904/v1","license":{"name":"CC BY 4.0","url":"https://creativecommons.org/licenses/by/4.0/"},"manuscriptAbstract":"\u003cp\u003eIn this paper, we shed light on second-moment breaks in a regression setting. 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. We employ bootstrap methods to obtain critical values. 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