Testing for Structural Stability of Factor Augmented Forecasting Models

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Simultaneous multiple change-point and factor analysis for high-dimensional time series (2016, unknown): “From Theorem 2 in Yu et al. (2015), which is a generalisation of the sin θ theorem in Davis and Kahan (1970), we have ∥Ŵx −WχS∥ ≤ 23/2 √ r∥Γ̂x − Γχ∥ min ( µχ,0 − µχ,1, µχ,r − µχ,r+1 ) , (20) where µχ,0 = ∞ and µχ,r+1 = 0.”
On Time-Varying Factor Models: Estimation and Testing ∗ (2017, methodology): “Corradi and Swanson (2014) propose a test to check structural stability of both factor loadings and factor-augmented forecasting regression coefficients.”
Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016, background): “Corradi and Swanson (2014) consider the bootstrap for tests of the stability of the factor loadings and factor-augmented regression coefficients.”