We estimate and test for multiple structural breaks in distribution with unknown break dates via a characteristic function approach. By minimizing the sum of squared generalized residuals, we can consistently estimate the break fractions. We propose a sup-F type test for structural breaks in...

We propose a new test for structural changes in large dimensional factor models via a discrete Fourier transform (DFT) approach. If structural changes occur, the conventional principal component analysis fails to estimate common factors and factor loadings consistently. The estimated residuals...