Before revision:  We also study sufficient conditions when one can consistently estimate the asymptotic variance . These results are useful for making inferences in two-step estimation procedures related to factor models .
After revision:  We also study sufficient conditions when one can consistently estimate the asymptotic variance , and proposes a bootstrap scheme for cases when one cannot. A small simulation study illustrates performance of the asymptotic and bootstrap procedures. The results are useful for making inferences in two-step estimation procedures related to factor models .