Time invariance of factor loadings is a standard assumption in the analysis of large factor models.  Yet, this assumption may be restrictive unless parameter shifts are mild (i.e., local to zero).  In this paper we develop a new testing procedure to detect big breaks in these loadings at...

Time invariance of factor loadings is a standard assumption in the analysis of large factor models. Yet, this assumption may be restrictive unless parameter shifts are mild (i.e., local to zero). In this paper we develop a new testing procedure to detect big breaks in these loadings at either...

Time invariance of factor loadings is a standard assumption in the analysis of large factor models. Yet, this assumption may be restrictive unless parameter shifts are mild (i.e., local to zero). In this paper we develop a new testing procedure to detect big breaks in these loadings at either...