Before revision:   We prove that, as both the dimension of the panel n and the sample size T diverge to infinity , the estimated loadings , factors , and common components are \min(\sqrt n,\sqrt T\to \to  )-consistent and asymptotically normal  .
After revision:  We prove that, as both the dimension of the panel n and the sample size T diverge to infinity , the estimated loadings , factors , and common components are \min(\sqrt n,\sqrt T\to \to 0; (iii) the estimated common component is \min(\sqrt T,\sqrt n )-consistent and asymptotically normal .