We suggest a two step procedure to estimate a dynamic factor model. We show that, in a stationary dynamic framework, static factor analysis leads to consistent estimators and allows to build an asymptotic test of the relevant number of factors. Once this number is set, the model can be estimated...

This paper presents a study of the finite sample properties of the pseudo-maximum likelihood estimators in the case of a Poisson model. The simulations have been realized with control variates, a method which has considerably improved the accuracy of the results obtained. The negative binomial...