TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
针对动态因子模型中因子载荷可能存在的结构突变，提出一种检验方法，通过比较估计因子在断点前后的二阶矩来检测变化，蒙特卡洛模拟显示该检验具有良好的有限样本性质。
In this paper, we develop tests for structural breaks of factor loadings in dynamic factor models. We focus on the joint null hypothesis that all factor loadings are constant over time. Because the number of factor loading parameters goes to infinity as the sample size grows, conventional tests cannot be used. Based on the fact that the presence of a structural change in factor loadings yields a structural change in second moments of factors obtained from the full sample principal component estimation, we reduce the infinite-dimensional problem into a finite-dimensional one and our statistic compares the pre- and postbreak subsample second moments of estimated factors. Our test is consistent under the alternative hypothesis in which a fraction of or all factor loadings have structural changes. The Monte Carlo results show that our test has good finite-sample size and power.