Detecting Variance Change-Points for Blocked Time Series and Dependent Panel Data

This article proposes a class of weighted differences of averages (WDA) statistics to test and estimate possible change-points in variance for time series with weakly dependent blocks and dependent panel data without specific distributional assumptions. We derive the asymptotic distributions of the test statistics for testing the existence of a single variance change-point under the null and local alternatives. We also study the consistency of...