Variance estimation in the change analysis of a linear regression model (Q1865226)

We study a ``direct test'' of \textit{C.-S. Chu} and \textit{H. White} [J. Bus. Econ. Stat. 10, 289--299 (1992)] proposed for detecting changes in the trend of a linear regression model. The power of this test strongly depends on a suitable estimation of the variance of the error variables involved. We discuss various types of variance estimators and derive their asymptotic properties under the null-hypothesis of ''no change'' as well as under the alternative of ''a change in linear trend''. A small simulation study illustrates the estimators' finite sample behaviour.