Forecasting with nonstationary dynamic factor models

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Spatial dynamic factor analysis (2008, background): “See Peña and Poncela (2004, 2006) for more details on nonstationary dynamic factor models and Section 5 for the application.”
Forecasting with Many Predictors (2006, methodology): “…ahead forecast is computed by projecting Yht+h onto the estimated factors and observables, that is, by estimating βh(L) and γh(L) in the equation (12)Yht+h = βh(L)′ft |t + γh(L)Yt + εht+h 2 Peña and Poncela (2004) provide an interpretation of forecasts based on the exact DFM as shrinkage forecasts.”