In this paper, we consider the estimation of break points in high-dimensional factor models where the unobserved factors are estimated by principal component analysis (PCA). The factor loading matrix is assumed to have a structural break at an unknown time. We establish the conditions under...

During the past decade, high-dimensional factor models have been widely used for structural analysis in the literature, where the effects of structural shocks are often estimated under just-identifying restrictions. However, as the number of restrictions in a factor model setup can be large due...