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The asymptotic distribution of the estimator of the factor and factor\u2010loading space under factor stationarity is derived and compared to that of the principal component (PC) estimator. The paper also considers the case when factors exhibit a unit root. We provide feasible estimators and show in a simulation study that they are more efficient than the PC estimator in finite samples. In application, the estimation procedure is employed to estimate the Lee\u2013Carter model and life expectancy is forecast. The Dutch gender gap is explored and the relationship between life expectancy and the level of economic development is examined in a cross\u2010country comparison.<\/jats:p>","DOI":"10.1002\/jae.2571","type":"journal-article","created":{"date-parts":[[2017,4,26]],"date-time":"2017-04-26T07:29:57Z","timestamp":1493191797000},"page":"1107-1122","source":"Crossref","is-referenced-by-count":2,"title":["Efficient estimation of factor models with time and cross\u2010sectional dependence"],"prefix":"10.1002","volume":"32","author":[{"given":"Alexander","family":"Heinemann","sequence":"first","affiliation":[{"name":"School of Business and Economics Maastricht University  Maastricht Netherlands"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2017,4,25]]},"reference":[{"key":"e_1_2_9_2_1","unstructured":"Amengual D. &Repetto L.(2014).Testing a large number of hypotheses in approximate factor models (Working Paper No. wp2014_1410).Madrid Spain: CEMFI."},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00392"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2003.10.022"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6135"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00528.x"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00696.x"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.027"},{"key":"e_1_2_9_10_1","first-page":"1","article-title":"Arrived at normality: Germany 25 years after the fall of the Berlin Wall","volume":"73","author":"Borger K.","year":"2014","journal-title":"KFW Economic Research"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1198\/jasa.2011.tm09693"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/03461230510009754"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912275"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466611000338"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jspi.2016.10.003"},{"key":"e_1_2_9_16_1","volume-title":"Het koninkrijk der nederlanden in de tweede wereldoorlog. 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