Internet Appendix for Target PCA: Transfer Learning Large Dimensional Panel Data

51 Pages Posted: 20 Sep 2023

See all articles by Junting Duan

Junting Duan

Stanford University - Department of Management Science & Engineering

Markus Pelger

Stanford University - Department of Management Science & Engineering

Ruoxuan Xiong

Emory University

Date Written: August 25, 2023

Abstract

This Internet Appendix collects the detailed proofs for all the theoretical statements in the main text, the data description, and additional simulation results.

Keywords: Factor Analysis, Principal Components, Transfer Learning, Multiple Data Sets, Large-Dimensional Panel Data, Large N and T , Missing Data, Weak Factors, Causal Inference

JEL Classification: C14, C38, C55, G12

Suggested Citation

Duan, Junting and Pelger, Markus and Xiong, Ruoxuan, Internet Appendix for Target PCA: Transfer Learning Large Dimensional Panel Data (August 25, 2023). Available at SSRN: https://ssrn.com/abstract=4556029 or http://dx.doi.org/10.2139/ssrn.4556029

Junting Duan

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

473 Via Ortega
Stanford, CA 94305-9025
United States

Markus Pelger

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

473 Via Ortega
Stanford, CA 94305-9025
United States

Ruoxuan Xiong (Contact Author)

Emory University ( email )

36 Eagle Row
Atlanta, GA 30322-0001
United States
4707273668 (Phone)

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
26
Abstract Views
120
PlumX Metrics