Testing for structural change under non‐stationary variances
非平稳方差下的结构变化检验
Non‐stationarity of the volatility process reflects low‐frequency volatility changes of an economic time series, and its theoretical and empirical relevance has been widely recognized. We investigate how it affects cumulative sum (CUSUM) related tests for structural change in regression coefficients. Non‐stationary variances generally invalidate standard structural change tests by introducing an infinite‐dimensional nuisance parameter in the limit distribution, and we…