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
Date Written: November 8, 2020
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: Suggested Citation