In a recent study, Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285–314, 2013a) proposes a new factor analytic (FA) method to the estimation of dynamic panel data models, which has the unique and very useful property that it is completely bias-free. However, while certainly appealing, the method is restricted to fixed effects models without a unit root. In many situations of practical relevance this is a rather restrictive consideration. The purpose of the current study is therefore to extend the FA approach to cover models with multiple interactive effects and a possible unit root. Joint with Milda Norkute.