This paper considers a linear panel data model with reduced rank regressors and interactive fixed effects. The leading example is a factor model where some of the factors are observed, some others not. Invariance considerations yield a maximal invariant statistic whose density does not depend on...

In recent years state space models, particularly the linear Gaussian version, have become the standard framework for analyzing macro-economic and financial data. However, many theoretically motivated models imply non-linear or non-Gaussian specifications or both. Existing methods for estimating...