We develop a dynamic factor model for panel data with a short time dimension (i.e. n15). Unlike most of the work in the DFM literature where one common factor is estimated for a group of cross sectional units, our interest lies in the estimation of a latent variable for each cross sectional unit...

We develop a generalized dynamic factor model for panel data with the goal of estimating an unobserved index. While similar models have been developed in the literature of dynamic factor analysis, our contribution is threefold. First, contrary to simple dynamic factor analysis where multiple...