Testing for Factor Loading Structural Change under Common Breaks

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On Time-Varying Factor Models: Estimation and Testing ∗ (2017, background): “4 Yamamoto and Tanaka (2015) argue that when the number of factors is estimated from the data, Breitung and Eickmeier’s (2011) test tends to exhibit non-monotonic power due to the presence of estimated spurious factors under the alternative.”
State-Varying Factor Models of Large Dimensions (2018, background): “6Generalized correlations or canonical correlations have been studied in Anderson (1958), Yuan and Bentler (2000), Bai and Ng (2006), Pelger (2019), and Andreou et al. (2019).”