Table 1: Performance of factor estimators from 1000 simulations. Trace statistics for various time lengths and sample sizes.

 T=3 T=5 T=7 T=10 T=15 TRDFM $\frac{T{R}_{DFM}}{T{R}_{CFM}}$ TRDFM $\frac{T{R}_{DFM}}{T{R}_{CFM}}$ TRDFM $\frac{T{R}_{DFM}}{T{R}_{CFM}}$ TRDFM $\frac{T{R}_{DFM}}{T{R}_{CFM}}$ TRDFM $\frac{T{R}_{DFM}}{T{R}_{CFM}}$ n = 10 P = 5 0.77 1.00 0.80 1.02 0.83 1.02 0.86 1.02 0.88 1.01 P = 10 0.77 1.00 0.78 1.02 0.81 1.03 0.83 1.03 0.86 1.02 P = 15 0.77 1.00 0.77 1.02 0.78 1.03 0.81 1.03 0.84 1.02 n = 50 P = 5 0.85 1.01 0.87 1.02 0.90 1.02 0.92 1.02 0.93 1.01 P = 10 0.85 1.01 0.86 1.02 0.87 1.03 0.90 1.03 0.92 1.02 P = 15 0.85 1.01 0.85 1.02 0.86 1.03 0.88 1.03 0.91 1.02 n = 100 P = 5 0.86 1.01 0.89 1.02 0.91 1.02 0.93 1.02 0.95 1.01 P = 10 0.86 1.01 0.86 1.02 0.89 1.03 0.92 1.03 0.94 1.02 P = 15 0.87 1.01 0.86 1.02 0.88 1.03 0.90 1.03 0.93 1.03 n = 200 P = 5 0.88 1.01 0.90 1.02 0.92 1.02 0.94 1.02 0.96 1.02 P = 10 0.87 1.01 0.89 1.02 0.91 1.03 0.93 1.03 0.95 1.02 P = 15 0.89 1.01 0.88 1.02 0.89 1.03 0.92 1.04 0.93 1.03 n = 300 P = 5 0.86 1.01 0.91 1.02 0.93 1.03 0.95 1.05 0.96 1.03 P = 10 0.87 1.01 0.90 1.02 0.91 1.03 0.94 1.03 0.97 1.07 P = 15 0.90 1.01 0.89 1.02 0.91 1.03 0.93 1.04 0.96 1.09