We propose a model-free test for structural changes in factor models. The basic idea is to regress the data on commonly estimated factors by local smoothing and compare the fitted values of time-varying factor loadings with those of time-invariant factor loadings estimated via principal component analysis. By construction, the test is designed to be powerful against both smooth structural changes and sudden structural breaks with a possibly unknown number of breaks and unknown break dates in the factor loadings. No restrictions on the form of alternatives or trimming of boundary regions near the beginning or end of the sample period is required for the test. The test has power to detect the usual nonparametric rate of local alternatives. Monte Carlo studies demonstrate excellent power of the test in detecting both smooth and sudden structural changes in the factor loadings. In an application using U.S. asset returns, we find significant evidence against time-invariant factor loadings.

中文翻译：

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通过非参数回归测试因子模型的结构变化

我们建议对因子模型的结构变化进行无模型测试。其基本思想是通过局部平滑对常用估计因子的数据进行回归，并将时变因子载荷的拟合值与通过主成分分析估计的时不变因子载荷的拟合值进行比较。通过构建，该测试被设计为对平滑的结构变化和突然的结构断裂具有强大的抵抗力，其中可能未知的断裂数量和未知的断裂日期在因子载荷中。测试不需要限制替代方案的形式或在采样周期的开始或结束附近修剪边界区域。该检验具有检测局部替代方案的通常非参数率的能力。蒙特卡洛研究证明了该测试在检测因子载荷的平滑和突然结构变化方面具有出色的能力。在使用美国资产回报的应用程序中，我们发现了反对时不变因子载荷的重要证据。