Alexander Heinemann, "Efficient Estimation of Factor Models with Time and Cross-Sectional Dependence", Journal of Applied Econometrics, Vol. 32, No. 6, 2017, pp. 1107-1122. The data used in the article are from the Human Mortality Database (HMD), who require registration before access. Access can be requested at www.mortality.org. If access is granted, the data can be retrieved for the Netherlands, Luxembourg, West Germany, and Belgium. The country-specific central death rate data can be found under "Death rates" for the 1x1 age-year intervals. The data archive is updated once in a while. At the time of writing, the following years were available: Netherlands 1850 - 2009 Luxembourg 1960 - 2009 West Germany 1956 - 2011 Belgium 1841 - 2012 Data are held in .txt files for each country containing five columns (Year, Age, Female, Male, Total). The programs are written in Matlab (.m extension) and Stata (.do extension). To run the programs, we have included a test file called 'Atlantis.txt'. The structure is as follows: -'Table_1.m' generates Table 1 and is based on the subroutine 'Simulator.m' -'Simulator.m' simulates a factor model and obtains estimates (GLS,B&T,Choi,PC) based on the subroutines: 'GLS_estimator.m', 'BT_estimator.m', 'CH_estimator.m', and 'pc2step.m'. In addition it calls the subroutine 'vec.m', which returns the vectorization of a matrix. -'eigrs21des.m' Subroutine that sorts eigenvalues and coresponding eigenvectors in descending order -'Figure_1.m' generates Subfigure 1(a). Subfigures 1(b)-(d) can be obtained by changing the parameters N and T as indicated in Figure 1. -'Application.m' (PART I) Estimates the Lee-Carter model using PC and GLS. Figures 2 and 3 as well as Table 2 are generated. Further, it stores the factor estimates in a .csv file. -'ARIMA.do' Needs the 'statatransfer.csv' and estimates an ARIMA to the PC and GLS estimated factors. -'Application.m' (PART II) Needs the output of the ARIMA model. It calculates the values of Table 4 and the country-specific values of Figure 4. All these files are ASCII files in DOS format. They are zipped in the file ah-programs.zip. Unix/Linux users should use "unzip -a". The figures are zipped in the file ah-graphs.zip. They are binary files, so do not use the "-a" option. There is also a technical appendix, ah-appendix.pdf. Please address any questions to: Alexander Heinemann Dept. of Quantitative Economics Maastricht University Box 616 6200 MD Maastricht The Netherlands a.heinemann [AT] maastrichtuniversity.nl