I develop asymptotic theory for Granular Instrumental Variables (GIV) in large panels with both cross-section ($N$) and sample size ($T$) growing. The granular instrument is constructed from individual shocks that must be estimated from the panel. I show that this estimation has a first-order effect on the asymptotic variance of the GIV estimator. Existing methods do not account for this effect, leading to incorrect standard errors and invalid inference. I derive corrected standard errors that deliver valid inference. I show that instrument strength can change as the cross section grows. This yields strong, nearly-weak, and weak regimes for GIV. In particular, I identify a previously uncharacterized nearly-weak regime in which the instrument vanishes asymptotically, but GIV remains valid. In this regime, if the sample size grows sufficiently fast relative to the cross section, the estimator remains consistent and asymptotically normal at a rate slower than $\sqrt{T}$. Further, I characterize the conditions where GIV exhibits standard weak-instrument behavior and provide Anderson-Rubin confidence intervals. I apply the theory to estimate short-run demand and supply elasticities for copper, natural gas, and crude oil. Across the six elasticities, accounting for instrument estimation changes standard errors by up to a fifth.

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