We provide a comprehensive treatment of the problem of testing jointly for structural change in both the regression coefficients and the variance of the errors in a single equation regression involving stationary regressors. Our framework is quite general in that we allow for general mixing-type...

In a companion paper, Perron and Zhou (2008) provided a comprehensive treatment of the problem of testing jointly for structural change in both the regression coefficients and the variance of the errors in a single equation regression model involving stationary regressors, allowing the break...