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st: two stage least squares for panel data

From   Parfait Gasana <>
Subject   st: two stage least squares for panel data
Date   Wed, 22 Aug 2012 08:27:51 -0500

Hello all,
How can I estimate two-stage least squares or instrumental variable
regression with panel data? I tried xtivreg but receive the error: the
sample specifies cross-sectional data, xtivreg is not designed for
cross-sectional data. However, my data is in long format with repeated
indicators (here the. 50 U.S. states and DC)  across 5 years. Hence, a
sample size of 255. Also, I am sure I ran xtset, setting up the panel
and time variables. And all my instruments are nonmissing for every

What's more, I am able to successfully run a xtreg command. I
understand xtreg can use cross-sectional data. So, am I working with
cross-sectional data and if so, how do I get a time-dynamic dataset?

Thanks in advance for your help!
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