In this study, we revisit the factor analytical (FA) approach for (near unit root) dynamic panel data models, whose asymptotic distribution has been shown to be normal and well centered at zero without the need for valid instruments or correction for bias. It is therefore very appealing. The question is: Does the appeal of FA, which so far has only been documented for fixed effects panels, extends to panels with incidental trends? This is an important question, because many persistent variables are trending. The answer turns out to be negative. In particular, while consistent, the asymptotic normality of FA breaks down when there is an exact unit root present, which limits its applicability.

中文翻译：

---

近单位根面板趋势中的因子分析方法

在这项研究中，我们重新审视了（近单位根）动态面板数据模型的因子分析（FA）方法，其渐近分布已被证明是正态的并且很好地以零为中心，无需有效的工具或校正偏差。因此非常吸引人。问题是：到目前为止，仅针对固定效果面板记录的 FA 的吸引力是否扩展到具有偶然趋势的面板？这是一个重要的问题，因为许多持久变量都是趋势性的。答案是否定的。特别是，虽然一致，但当存在精确的单位根时，FA 的渐近正态性会失效，这限制了它的适用性。