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...

Structural changes often occur in economics and finance due to changes in preferences, technologies, institutional reforms, policies, crises and other factors. It is important to distinguish whether a structural change is abrupt or evolutionary, because the implications on econometric modelling...

Numerous studies have been devoted to estimating and testing of moment condition models. Most of the current literature assumes that structural parameters are either fixed or changed abruptly. This paper considers the estimating and testing for smooth structural changes in moment condition...

Structural change is a long-standing problem in time series econometrics and macroeconomics, and financial time series are likely to be affected by structural instability due to changes in preferences, technologies, policies, etc. Most of the existing literature on moment condition models...