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

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