Elliott and Mler (2007) (EM) provides a method to construct a confidence set for the structural break date by inverting a locally best test statistic. Previous studies show that the EM method produces a set with an accurate coverage ratio even for a small break, however, the set is often overly...

This paper proposes a new test for factor loading structural change in dynamic factor models. The proposed test is robust to the nonmonotonic power problem that occurs if the factor loadings exhibit structural changes at common dates over cross-sections. To illustrate the usefulness of our test,...

This study proposes constructing a confidence set for the date of a one-time structural change using a point optimal test. Following Elliott and Mler (2007), we first construct a test for the break date that maximizes the weighted average of the power function. The confidence set is then...