Before revision:  . The estimation of  linear loading spaces of the unit-root factors and the stationary components is achieved by an eigenanalysis of some nonnegative definite matrix , and the separation between the stationary factors and the white noises is based on an eigenanalysis and a projected principal component analysis . Asymptotic properties of the proposed method are established for both fixed p and diverging p as the sample size n tends to infinity.
After revision:  . The estimation of linear loading spaces of the unit-root factors and the stationary components is achieved by an eigenanalysis of some nonnegative definite matrix of the data to separate the unit-root processes from the stationary ones and a modified method to specify the number of unit roots. We then employ another eigenanalysis and a projected principal component analysis . Asymptotic properties of the proposed method are established for both fixed p and diverging p as the sample size n tends to infinity.