On what computer operating system are you running Premiere Elements 11?
I suspect Mac.
Premiere Elements 11 Mac does not have the Green Screen Key, Chroma Key, nor Blue Screen Key.
Some recommend the use of Videomerge which Premiere Elements 11 Mac should offer you under fx Effects/Videomerge.
I have written a blog post suggesting the use of the Difference Matte fx Effects/Keying/Difference Matte. This is the link to that blog post if you want to check it out.
Please let us know if Videomerge or the Difference Matte worked for you in this regard.
Are you running the Mac version of PRE? PRE for Mac does not have those effects.
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I am trying the Mac version. So, the pc version has those keys?
Yes. Premiere Elements 11 Windows has Green Screen Key, Chroma Key, and Blue Screen Key as well as Videomerge.