Target PCA: transfer learning large dimensional panel data

Cites Work

Are more data always better for factor analysis?
Inferential Theory for Factor Models of Large Dimensions
Determining the Number of Factors in Approximate Factor Models
Eigenvalue ratio test for the number of factors
Large Covariance Estimation by Thresholding Principal Orthogonal Complements
Projected principal component analysis in factor models
On factor models with random missing: EM estimation, inference, and cross validation
The central role of the propensity score in observational studies for causal effects
Asymptotics of the principal components estimator of large factor models with weakly influential factors
Panel data models with interactive fixed effects
Approximate factor models with weaker loadings
Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
Exact matrix completion via convex optimization
Inference and uncertainty quantification for noisy matrix completion
GLS estimation of dynamic factor models
Regression models with mixed sampling frequencies
Efficient estimation of factor models
State Space Models and MIDAS Regressions
On time-varying factor models: estimation and testing
Large-dimensional factor modeling based on high-frequency observations
Estimating latent asset-pricing factors
Factor-based imputation of missing values and covariances in panel data of large dimensions
Large dimensional latent factor modeling with missing observations and applications to causal inference
Mixed data sampling (MIDAS) regression models
State-Varying Factor Models of Large Dimensions
Interpretable Sparse Proximate Factors for Large Dimensions

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