XTKR: Stata module to implement the Keane and Runkle estimator for dynamic panel data models

Timothy Neal and Michael Keane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtkr implemenets the Keane & Runkle (JBES, 1992) estimator for dynamic panel estimation. This estimator is for panel data (large N small T) models where the instruments are not strictly exogenous and the errors contain some form of serial correlation. There are situations where the Keane & Runkle (1992) estimator will be preferable to the Arellano-Bond or Blundell-Bond DPD estimators.

Language: Stata
Requires: Stata version 11
Keywords: dynamic panel data; Keane; Runkle; instrumental variables; serial correlation (search for similar items in EconPapers)
Date: 2015-09-18
Note: This module should be installed from within Stata by typing "ssc install xtkr". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtkr.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtkr.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cigar.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/b/baltagireplication.do sample code (text/plain)

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