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The Keane and Runkle estimator for panel-data models with serial correlation and instruments that are not strictly exogenous

Author

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  • Michael Keane

    (University of Oxford)

  • Timothy Neal

    (University of New South Wales)

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. Copyright 2016 by StataCorp LP.

Suggested Citation

  • Michael Keane & Timothy Neal, 2016. "The Keane and Runkle estimator for panel-data models with serial correlation and instruments that are not strictly exogenous," Stata Journal, StataCorp LP, vol. 16(3), pages 523-549, September.
    • Handle: RePEc:tsj:stataj:v:16:y:2016:i:3:p:523-549
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    Cited by:

    1. Ben Maatoug, Abderrazek & Ben Ayed, Wassim & Ftiti, Zied, 2019. "Are MENA banks’ capital buffers countercyclical? Evidence from the Islamic and conventional banking systems," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 109-118.
    2. Michael Keane & Richard Rogerson, 2015. "Reconciling Micro and Macro Labor Supply Elasticities: A Structural Perspective," Annual Review of Economics, Annual Reviews, vol. 7(1), pages 89-117, August.
    3. Devdatta Ray & Mikael Linden, 2020. "Health expenditure, longevity, and child mortality: dynamic panel data approach with global data," International Journal of Health Economics and Management, Springer, vol. 20(1), pages 99-119, March.
    4. Dietrich Earnhart & Lubomir Lizal, 2010. "Pollution Control in a Transition Economy: Do Firms Face Economies and/or Diseconomies of Scale?," CERGE-EI Working Papers wp405, The Center for Economic Research and Graduate Education - Economics Institute, Prague.

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