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 0; (ii) the estimated factors are \sqrt n-consistent and asymptotically normal if \sqrt n/T\to )-consistent and asymptotically normal .