{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,15]],"date-time":"2026-10-15T19:39:56Z","timestamp":1792093196339,"version":"4.4.0"},"reference-count":30,"publisher":"Cambridge University Press (CUP)","issue":"6","license":[{"start":{"date-parts":[[2010,3,17]],"date-time":"2010-03-17T00:00:00Z","timestamp":1268784000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2010,12]]},"abstract":"<jats:p>We consider estimation of parameters in a regression model with endogenous regressors. The endogenous regressors along with a large number of other endogenous variables are driven by a small number of unobservable exogenous common factors. We show that the estimated common factors can be used as instrumental variables and they are more efficient than the observed variables in our framework. Whereas standard optimal generalized method of moments estimator using a large number of instruments is biased and can be inconsistent, the factor instrumental variable estimator (FIV) is shown to be consistent and asymptotically normal, even if the number of instruments exceeds the sample size. Furthermore, FIV remains consistent even if the observed variables are invalid instruments as long as the unobserved common components are valid instruments. We also consider estimating panel data models in which all regressors are endogenous but share exogenous common factors. We show that valid instruments can be constructed from the endogenous regressors. Although single equation FIV requires no bias correction, the faster convergence rate of the panel estimator is such that a bias correction is necessary to obtain a zero-centered normal distribution.<\/jats:p>","DOI":"10.1017\/s0266466609990727","type":"journal-article","created":{"date-parts":[[2010,3,17]],"date-time":"2010-03-17T10:18:56Z","timestamp":1268821136000},"page":"1577-1606","source":"Crossref","is-referenced-by-count":123,"title":["INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT"],"prefix":"10.1017","volume":"26","author":[{"given":"Jushan","family":"Bai","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Serena","family":"Ng","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2010,3,17]]},"reference":[{"key":"S0266466609990727_ref29","doi-asserted-by":"publisher","DOI":"10.1198\/016214502388618960"},{"key":"S0266466609990727_ref6","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"S0266466609990727_ref12","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00632.x"},{"key":"S0266466609990727_ref20","doi-asserted-by":"crossref","unstructured":"Hausman J. , Newey W. , & Woutersen T. (2006) IV Estimation with Heteroskedasticity and Many Instruments. Manuscript, MIT.","DOI":"10.1920\/wp.cem.2007.2207"},{"key":"S0266466609990727_ref14","unstructured":"Favero C. & Marcellino M. (2001) Large Datasets, Small Models, and Monetary Europe. IGIER, Working paper 208."},{"key":"S0266466609990727_ref19","doi-asserted-by":"publisher","DOI":"10.2307\/1913827"},{"key":"S0266466609990727_ref16","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1765(01)00622-X"},{"key":"S0266466609990727_ref17","doi-asserted-by":"publisher","DOI":"10.1198\/016214506000001275"},{"key":"S0266466609990727_ref7","article-title":"Selecting instrumental variables in a data rich environment","volume":"1","author":"Bai","year":"2009","journal-title":"Journal of Time Series Econometrics"},{"key":"S0266466609990727_ref9","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(03)00024-2"},{"key":"S0266466609990727_ref10","unstructured":"Carrasco M. (2006) A Regularization Approach to the Many Instruments Problem. Manuscript, Universit\u00e9 de Montreal."},{"key":"S0266466609990727_ref21","volume-title":"Econometrics","author":"Hayashi","year":"2000"},{"key":"S0266466609990727_ref26","unstructured":"Meng G. , Hu G. , & Bai J. (2007) A Simple method for Estimating Betas when Factors are Measured with Error. Mimeo, Boston College."},{"key":"S0266466609990727_ref15","doi-asserted-by":"publisher","DOI":"10.1198\/016214504000002050"},{"key":"S0266466609990727_ref4","doi-asserted-by":"publisher","DOI":"10.2307\/2297968"},{"key":"S0266466609990727_ref1","doi-asserted-by":"publisher","DOI":"10.2307\/2525526"},{"key":"S0266466609990727_ref18","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"},{"key":"S0266466609990727_ref13","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00238"},{"key":"S0266466609990727_ref3","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00680.x"},{"key":"S0266466609990727_ref22","unstructured":"Kapetanios G. & Marcellino M. (2006) Factor-GMM Estimation with Large Sets of Possibly Weak Instruments. Manuscript, Queen Mary University."},{"key":"S0266466609990727_ref8","doi-asserted-by":"publisher","DOI":"10.2307\/2951662"},{"key":"S0266466609990727_ref30","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466605050437"},{"key":"S0266466609990727_ref25","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608080158"},{"key":"S0266466609990727_ref28","unstructured":"Onatski A. (2006) Asymptotic Distribution of the Principal Components Estimator of Large Factor Models when Factors Are Relatively Weak. Mimeo, Columbia University."},{"key":"S0266466609990727_ref24","unstructured":"Kuersteiner G. & Okui R. (2007) Estimator Averaging for Two stage Least Squares. Manuscript, University of California, Davis."},{"key":"S0266466609990727_ref23","doi-asserted-by":"publisher","DOI":"10.2307\/1905293"},{"key":"S0266466609990727_ref5","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00392"},{"key":"S0266466609990727_ref2","volume-title":"Advanced Econometrics","author":"Amemiya","year":"1985"},{"key":"S0266466609990727_ref11","doi-asserted-by":"publisher","DOI":"10.2307\/1912275"},{"key":"S0266466609990727_ref27","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00438"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466609990727","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,27]],"date-time":"2019-04-27T20:35:29Z","timestamp":1556397329000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466609990727\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,3,17]]},"references-count":30,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2010,12]]}},"alternative-id":["S0266466609990727"],"URL":"https:\/\/doi.org\/10.1017\/s0266466609990727","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,3,17]]}}}