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

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