[Jeff Wooldridge]

Do you have industry-level panel data? Or is it at something like the firm level? What are the dimensions of N and T?

[Mike Mikkola]

Dear Wooldridge,

I have a panel data with which I want to run an IV regression. If I want to include county FE, year FE and cluster by state. How should I do this? i have data on over a 1000 counties over 7 years.

I have used
Xtset county year.
Xtreg variable2 instrument_var i.year, fe cluster(state)

then the reduced form
xtreg variable1 instrument_var i.year, fe cluster(state)

and now I am trying to do an IV regression with
xtivreg variable1 (variable2=instrument_var) i.year, fe

But the results I feel are wrong. What could be wrong? Or is there perhaps an alternative way to do this?