The Keane and Runkle estimator for panel-data models with serial correlation and instruments that are not strictly exogenous
Abstract. In this article, we introduce the new command xtkr, which implements the
Keane and Runkle (1992a, Journal of Business and Economic Statistics 10:
1–9) approach for fitting linear panel-data models when the available
instruments are predetermined but not strictly exogenous. This is a common case
that includes dynamic panel-data models as a leading example. Monte Carlo
simulations show that, in certain situations, this approach offers an
improvement over the popular difference generalized method of moments and
system generalized method of moments estimators in terms of bias and root mean
squared error. An empirical application to cigarette demand also demonstrates
its usefulness for applied researchers.
View all articles by these authors:
Michael Keane, Timothy Neal
View all articles with these keywords:
xtkr, forward filtering, GMM, panel data, lagged dependent variable, endogeneity, strict exogeneity, predetermination
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