Recent dynamic factor models have been almost exclusively developed under the assumption that the common components span a finite-dimensional vector space. However, this finite-dimension assumption rules out very simple factor-loading patterns and is therefore severely restrictive. The general...

Factor model methods recently have become extremely popular in the theory and practice of large panels of time series data. Those methods rely on various factor models which all are particular cases of the Generalized Dynamic Factor Model (GDFM) introduced in Forniet al. (2000). That paper,...