We develop a new test for threshold-type regime changes in the risk exposures in portfolios with a large number of financial assets whose returns exhibit an approximate factor structure. Unlike existing procedures to detect discrete shifts in factor models, our test is robust to regime-specific second moment of the common factors. We rely on an auxiliary threshold regression: we take a weighted cross-sectional average of the cross-sectional units; we estimate the factors from the original model under the null hypothesis of no regime changes; we construct a Lagrange multiplier statistic to test for threshold effect in the auxiliary regression. Numerical results show the good finite sample properties of our procedure. The empirical analysis uncovers the dynamics of portfolio weights and diversification benefits in factor mimicking portfolios across different regimes.

中文翻译：

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测试具有大量资产的投资组合中的制度变化：因子异方差的稳健方法

我们开发了一种新的测试方法，用于测试投资组合中风险敞口的阈值型制度变化，其中投资组合的收益表现出近似因子结构的大量金融资产。与现有的检测因子模型离散变化的程序不同，我们的测试对公共因子的特定于政权的二阶矩具有鲁棒性。我们依赖于辅助阈值回归：我们取横截面单元的加权横截面平均值；我们在没有政权更迭的原假设下估计来自原始模型的因素；我们构建了一个拉格朗日乘数统计量来测试辅助回归中的阈值效应。数值结果表明我们的程序具有良好的有限样本特性。