Testing linear relationships between non-constant variances of economic variables

Junichi Hirukawa, Hamdi Raïssi

Research output: Contribution to journalArticlepeer-review


We aim to assess linear relationships between the non-constant variances of economic variables. A two-step methodology is proposed to solve this problem. First, the conditional mean is filtered by mean of a vector autoregressive (VAR) model. Then, a bootstrap cumulative sum (CUSUM) test is applied to the residuals. Simulations suggest a good behavior of the test, for sample sizes commonly encountered in practice. The tool we provide is intended to highlight relations, or draw common patterns between economic variables, through their non-constant variances. The outputs of this paper are illustrated considering U.S. regional data.

Original languageEnglish
Pages (from-to)182-189
Number of pages8
JournalEconomic Modelling
StatePublished - Aug 2020


  • CUSUM tests
  • Common variance patterns
  • VAR models
  • Wild bootstrap


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