Estimating the common break date in large factor models

- A consistent estimator for the common break date of the factor loadings in large dimensional factor models is proposed.
- A modified consistent estimator is proposed when the number of factors is unknown.
- Simulation results confirm the good performance of the estimator in finite samples.

This paper considers large dimensional factor models with structural breaks in the factor loadings at a common date. A consistent estimator for the break date is proposed. Simulation results confirm its good performance for small and moderate sample sizes.