Internet Appendix to Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference

95 Pages Posted: 14 Jan 2021 Last revised: 16 Jan 2021

See all articles by Ruoxuan Xiong

Ruoxuan Xiong

Stanford University - Department of Management Science & Engineering

Markus Pelger

Stanford University - Department of Management Science & Engineering

Date Written: November 8, 2020

Abstract

The Internet Appendix collects the proofs and additional results that support the main text. We show in simulations that our estimators perform well relative to alternative estimators and can be improved even further with an iterative approach. We also confirm that the distribution results, statistical power and robustness to misspecification hold under a variety of simulation setups. Lastly, we collect the detailed proofs for all the theoretical statements.

Keywords: Factor Analysis, Principal Components, Synthetic Control, Causal Inference, Treatment Effect, Missing Entry, Large-Dimensional Panel Data, Large N and T , Matrix Completion

JEL Classification: C14, C38, C55, G12

Suggested Citation

Xiong, Ruoxuan and Pelger, Markus, Internet Appendix to Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference (November 8, 2020). Available at SSRN: https://ssrn.com/abstract=3727020 or http://dx.doi.org/10.2139/ssrn.3727020

Ruoxuan Xiong

Stanford University - Department of Management Science & Engineering ( email )

473 Via Ortega
Stanford, CA 94305-9025
United States

Markus Pelger (Contact Author)

Stanford University - Department of Management Science & Engineering ( email )

473 Via Ortega
Stanford, CA 94305-9025
United States

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