Practitioners often have at their disposal a large number of instruments that are weakly exogenous for the parameter of interest. However, not every instrument has the same predictive power for the endogenous variable, and using too many instruments can induce bias. We consider two ways of...

We propose a simple method for estimating betas (factor loadings) when factors are measured with error: Ordinary Least-squares Instrumental Variable Estimator (OLIVE). OLIVE is intuitive and easy to implement. OLIVE performs well when the number of instruments becomes large (can be larger than...

This paper introduces a new procedure for analyzing the quantile co-movement of a large number of financial time series based on a large-scale panel data model with factor structures. The proposed method attempts to capture the unobservable heterogeneity of each of the financial time series...