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References

Ahn, S. C. and Horenstein, A. R. (2012). Eigenvalue ratio test for the number of factors, forthcoming in Econometrica

Ahn, S. C., Lee, H. Y. and Schmidt, P. (2010). Panel data models with multiple time-varying individual effects, mimeo.

Bai, J. (2003). Inferential theory for factor models of large dimensions, Econometrica 71(1): 135–171.

Bai, J. (2009). Panel data models with interative fixed effects, Econometrica 77(4): 1229– 1279.

Bai, J. and Li, K. (2012). Statistical analysis of factor models of high dimension, Annals of Statistics 40(1): 436–465.

Bai, J. and Ng, S. (2002). Determining the number of factors in approximate factor models, Econometrica 70(1): 191–221.

Bai, J. and Ng, S. (2011). Principal components estimation and identification of the factors, mimeo.

Breitung, J. and Tenhofen, J. (2011). GLS estimation of dynamic factor models, Journal of the American Statistical Association, 106(495): 1150–1166.

Choi, I. (2012). Efficient estimation of factor models, Econometric Theory, 28: 274–308. Forni, M., Hallin, M., Lippi, M. and Reichlin, L. (2000). The generalized dynamic factor

model: Identification and estimation, Review of Economics and Statistics 82: 540-― 554.

Hallin, M. and Liska, R. (2007). The generalized dynamic factor model: determining the number of factors, Journal of the American Statistical Association 102: 603-―617. Hayakawa, K. (2012). GMM estimation of short dynamic panel data models with interactive

fixed effects, Journal of the Japan Statistical Society 42(2): 109–123.

Holtz-Eakin, D., Newey, W. K. and Rosen, H. S. (1988) Estimating vector autoregressions with panel data, Econometrica 56: 1371-1395.

Iwakura, H. and Okui, R. (2012). Asymptotic efficiency in dynamic panel data models with factor structure, mimeo.

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Onatski, A. (2009). Testing hypotheses about the number of factors in large factor models, Econometrica 77(5): 1447–1479.

Onatski, A. (2010). Determining the number of factors from empirical distribution of eigen- values, Review of Economics and Statistics 92(4): 1004-1016.

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Sarafidis, V. and Yamagata, T. (2010). Instrumental variable estimation of dynamic linear panel data models with defactored regressors under cross-sectional dependence, mimeo. Stock, J. H. and Watson, M. W. (1999). Forecasting inflation, Journal of Monetary Economics

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