I have the following school level data with MSA indicators metaread, and other controls. Here is a snippet:
Code:
* dataex year metaread schoolid indep ins ln_fteteachers ln_enroll_total ln_enroll_white ln_cty_pop ln_density e_schoolcommunitytype e_schoolsreligorientation schoollevelcode_e
* Example generated by -dataex-. To install: ssc install dataex
clear
input double year long metaread double schoolid float(indep ins ln_fteteachers ln_enroll_total ln_enroll_white ln_cty_pop ln_density) int(e_schoolcommunitytype e_schoolsreligorientation) long schoollevelcode_e
2000 8600  2   .6792825 17.453243         .  6.526495  6.198479 12.012943  4.826227   5   2 219
2010 8600  2   .9151677 17.749481  3.708682  6.434546  6.095825  12.17899  4.992274   3   2 219
2000 1000  5   .8440945 18.955835  3.135494  6.257668  6.107023 13.403091  6.389827   5   2   4
2010 1000  5  1.1763699 19.150806   3.08191  6.070738  5.726848 13.397668  6.384404 118   2   4
2000 2650  6 -.05712979 17.949232  2.646175  5.411646  5.278115 11.384706  4.880871   5   2   4
2010 2650  6    .433094 18.177612 2.9496884  5.308268  4.962845  11.43722  4.933386   3   2   4
2000 1000  7   .8440945 18.955835  2.459589  5.283204         . 13.403091  6.389827 119   2   4
2010 1000  7  1.1763699 19.150806 1.4816046  4.158883         . 13.397668  6.384404 118   2   4
2000 2030  8   .4822042 16.856903  2.451005  5.327876  5.123964 11.617862  5.255977   5   2   4
2010 2030  8  1.1685236 17.023989  2.631889  5.030438  4.564348 11.690988  5.329103 277   2   4
2000 1000 10   .8440945 18.955835  2.587764  5.455321  5.105946 13.403091  6.389827   5   2   4
2010 1000 10  1.1763699 19.150806 2.5572274   5.31812  5.030438 13.397668  6.384404   3   2   4
2000 1000 11   .8440945 18.955835  2.424803  5.416101 1.3862944 13.403091  6.389827   5   2   1
2010 1000 11  1.1763699 19.150806         .         .         . 13.397668  6.384404   1   1   1
2000 1000 12   .8440945 18.955835 2.6741486  5.389072  5.298317 13.403091  6.389827   5   2   4
2010 1000 12  1.1763699 19.150806  2.797281  5.247024  5.062595 13.397668  6.384404   3   2   4
2000 1000 13   .8440945 18.955835  2.424803  5.370638  5.010635 13.403091  6.389827   5   2   4
2010 1000 13  1.1763699 19.150806 2.2407095 4.6151204  3.135494 13.397668  6.384404   3   2   4
2000 1000 14   .8440945 18.955835  2.406945  5.347107         . 13.403091  6.389827   5   2   4
2010 1000 14  1.1763699 19.150806 2.1972246  5.147494         0 13.397668  6.384404   3   2   4
2000 1000 15   .8440945 18.955835  4.237001  6.844815         . 13.403091  6.389827   5   2 117
2010 1000 15  1.1763699 19.150806   3.71113   6.39693  6.133398 13.397668  6.384404 118   2 117
2000 1000 16   .8440945 18.955835 2.6246686  5.129899         . 13.403091  6.389827   5   2 117
2010 1000 16  1.1763699 19.150806 2.2512918  5.075174         . 13.397668  6.384404   3   2 117
2000 1000 17   .8440945 18.955835  2.815409  5.676754         . 13.403091  6.389827   5   2   4
2010 1000 17  1.1763699 19.150806 2.1972246  4.804021         0 13.397668  6.384404   3   2   4
2000 1000 18   .8440945 18.955835 1.3862944 4.1108737         0 13.403091  6.389827 119   2 219
2010 1000 18  1.1763699 19.150806         .         .         . 13.397668  6.384404   1   1   1
2000 1000 19   .8440945 18.955835 2.3025851  5.327876         . 13.403091  6.389827 119   2   4
2010 1000 19  1.1763699 19.150806  2.424803  4.804021 4.3438053 13.397668  6.384404 277   2   4
2000  450 20   .4542661 17.462225  2.397895  5.105946  4.859812 11.628475  5.221813   5   2   4
2010  450 20   .7778646 17.600746 3.2108436   5.42495  5.068904 11.683275  5.276614 277   2 219
2000 5160 22    .850684 19.189604  2.653242  5.062595         . 12.898828  5.784517 119   2   4
2010 5160 22   1.045776 19.373346         .         .         . 12.931184  5.816873   1   1   1
2000 5240 23  .52330875 18.145777 2.8449094  5.181784         .  12.31721  5.652487   5   2 117
2010 5240 23  1.0506424 18.327234   2.70805  5.117994  .6931472 12.343061  5.678337   3   2 117
2000 5240 24  .52330875 18.145777  2.980619  5.411646         .  12.31721  5.652487   5   2   4
2010 5240 24  1.0506424 18.327234         .         .         . 12.343061  5.678337   1   1   1
2000 5240 25  .52330875 18.145777  3.161247  6.052089  5.966147  12.31721  5.652487   5   2   4
2010 5240 25  1.0506424 18.327234         .         .         . 12.343061  5.678337   1   1   1
2000 5240 26  .52330875 18.145777  2.501436  5.081404  4.804021  12.31721  5.652487   5   2   4
2010 5240 26  1.0506424 18.327234         .         .         . 12.343061  5.678337   1   1   1
2000 5160 27    .850684 19.189604  3.148453  6.173786  6.025866 12.898828  5.784517   5   2   4
2010 5160 27   1.045776 19.373346  3.034953  5.929589  5.686975 12.931184  5.816873   3   2   4
2000 5160 28    .850684 19.189604 2.6246686   5.32301  4.882802 12.898828  5.784517   5   2   4
2010 5160 28   1.045776 19.373346  3.505557  6.133398  5.645447 12.931184  5.816873   3   2   4
2000 5160 29    .850684 19.189604  3.499533   6.55108  6.289716 12.898828  5.784517   5   2   4
2010 5160 29   1.045776 19.373346  3.475067  6.224558  6.001415 12.931184  5.816873   3   2   4
2000 5160 30    .850684 19.189604  3.054001  6.345636  6.253829 12.898828  5.784517   5   2   4
2010 5160 30   1.045776 19.373346  3.280911  6.261492  6.146329 12.931184  5.816873   3   2   4
2000 5160 31    .850684 19.189604 2.3125355  5.159055  5.099866 12.898828  5.784517   5   2   4
2010 5160 31   1.045776 19.373346         .         .         . 12.931184  5.816873   1   1   1
2000 5160 32    .850684 19.189604 2.4680996  5.429346         . 12.898828  5.784517   5   2   4
2010 5160 32   1.045776 19.373346 2.3025851  5.283204 1.0986123 12.931184  5.816873   3   2   4
2000 5160 33    .850684 19.189604  2.533697  5.463832 4.7004805 12.898828  5.784517   5   2   4
2010 5160 33   1.045776 19.373346 2.3025851  4.969813 4.0073333 12.931184  5.816873   3   2   4
2000 5160 34    .850684 19.189604 2.3125355  5.411646  5.236442 12.898828  5.784517   5   2   4
2010 5160 34   1.045776 19.373346         .         .         . 12.931184  5.816873   1   1   1
2000 5160 35    .850684 19.189604 2.3608541  5.451038  5.313206 11.852358  4.481004 221   2   4
2010 5160 35   1.045776 19.373346  2.484907  5.241747  5.003946 12.113217 4.7418633 277   2   4
2000 5160 36    .850684 19.189604 3.2027464  6.214608  6.186209 11.852358  4.481004 119   2   4
2010 5160 36   1.045776 19.373346  3.182212   6.33328  6.073044 12.113217 4.7418633 223   2   4
2000 5160 38    .850684 19.189604  2.525729  5.192957  5.075174 12.898828  5.784517   5   2   4
2010 5160 38   1.045776 19.373346 2.3025851  5.198497  4.983607 12.931184  5.816873 118   2   4
2000 5240 39  .52330875 18.145777  2.862201  5.480639  5.370638  12.31721  5.652487   5   2 117
2010 5240 39  1.0506424 18.327234 4.0621657  6.682108  6.423247 12.343061  5.678337   3   2 219
2000 5160 40    .850684 19.189604 4.7664385  7.360104   7.26333 12.898828  5.784517   5 116 219
2010 5160 40   1.045776 19.373346  5.009968  7.247793  7.151485 12.931184  5.816873   3 116 219
2000 1000 41   .8440945 18.955835 3.1904764     5.826         . 13.403091  6.389827   5 116   4
2010 1000 41  1.1763699 19.150806  3.273364  5.774551  5.517453 13.397668  6.384404   3 116   4
2000 1000 44   .8440945 18.955835  1.410987  4.204693  3.218876 13.403091  6.389827   5 116   4
2010 1000 44  1.1763699 19.150806         .         .         . 13.397668  6.384404   1   1   1
2000 1000 45   .8440945 18.955835 3.0910425  5.991465  5.799093 13.403091  6.389827 119 116 219
2010 1000 45  1.1763699 19.150806 2.9704144  5.846439         . 13.397668  6.384404 118 116 219
2000 1000 47   .8440945 18.955835  2.753661     5.826  5.192957 13.403091  6.389827   5 116 219
2010 1000 47  1.1763699 19.150806   2.76001     5.826  5.117994 13.397668  6.384404 277 116 219
2000 5240 48  .52330875 18.145777 2.1972246   5.26269 4.5325994  12.31721  5.652487   5 220   4
2010 5240 48  1.0506424 18.327234  1.568616  4.912655  3.218876 12.343061  5.678337   3 220   4
2000 5160 49    .850684 19.189604   1.94591   4.89784   3.89182 12.898828  5.784517 119 116   4
2010 5160 49   1.045776 19.373346 1.9878744  5.010635  3.871201 12.931184  5.816873 118 116   4
2000 2650 51 -.05712979 17.949232 4.0707345  6.739336  6.393591 11.384706  4.880871   5 116 219
2010 2650 51    .433094 18.177612  3.624341  6.419995  6.335054  11.43722  4.933386   3 116 219
2000 5160 57    .850684 19.189604         .  3.871201         . 12.898828  5.784517   5 116   4
2010 5160 57   1.045776 19.373346         .         .         . 12.931184  5.816873   1   1   1
2000 5160 58    .850684 19.189604 1.1631508  4.158883         . 12.898828  5.784517   5 116   4
2010 5160 58   1.045776 19.373346         .         .         . 12.931184  5.816873   1   1   1
2000 1000 60   .8440945 18.955835  1.609438  4.356709         . 13.403091  6.389827   5 116   4
2010 1000 60  1.1763699 19.150806         0  .6931472         . 13.397668  6.384404   3 116   4
2000 1000 62   .8440945 18.955835  .6931472  3.465736         . 13.403091  6.389827 119 116   4
2010 1000 62  1.1763699 19.150806         .         .         . 13.397668  6.384404   1   1   1
2000 1000 63   .8440945 18.955835  1.280934 4.3820267  2.772589 13.403091  6.389827   5 116   4
2010 1000 63  1.1763699 19.150806         .         .         . 13.397668  6.384404   1   1   1
2000  450 65   .4542661 17.462225         .         .         . 11.628475  5.221813   1   1   1
2010  450 65   .7778646 17.600746  3.529297  5.986452  5.780744 11.683275  5.276614 277 220 219
2000 5160 66    .850684 19.189604   3.73767  6.668228  6.566672 12.898828  5.784517   5 116 219
2010 5160 66   1.045776 19.373346 3.6712246  6.306275  6.115892 12.931184  5.816873   3 116 219
2000 1000 67   .8440945 18.955835  2.406945  5.459586   5.26269 13.403091  6.389827   5 116   4
2010 1000 67  1.1763699 19.150806 2.1972246  4.997212  4.804021 13.397668  6.384404 118 116   4
2000 1000 68   .8440945 18.955835 2.9231615  4.762174  4.744932 13.403091  6.389827   5 116   4
2010 1000 68  1.1763699 19.150806  2.631889  4.477337 4.4308167 13.397668  6.384404   3 116   4
end
label values e_schoolsreligorientation libmediacentre
label values e_schoolcommunitytype libmediacentre
label def libmediacentre 1 ".", modify
label def libmediacentre 2 "1-Catholic", modify
label def libmediacentre 116 "2-Other religious", modify
label def libmediacentre 220 "3-Nonsectarian", modify
label def libmediacentre 3 "1-City (ulocale = 11 or 12 or 13)", modify
label def libmediacentre 5 "1-Principle city (locale = 1 or 2)", modify
label def libmediacentre 118 "2-Suburb (ulocale = 21 or 22 or 23)", modify
label def libmediacentre 119 "2-Urban fringe large town (locale = 3 or 4 or 5)", modify
label def libmediacentre 221 "3-Rural or small town (locale = 6 or 7 or 8)", modify
label def libmediacentre 223 "3-Town (ulocale = 31 or 32 or 33)", modify
label def libmediacentre 277 "4-Rural (ulocale = 41 or 42 or 43)", modify
label values schoollevelcode_e schoollevelcode_e
label def schoollevelcode_e 1 ".", modify
label def schoollevelcode_e 4 "3-High", modify

Now, I am running the following code:
Code:
egen panelid=group( metaread schoolid)
xtset panelid year
xi: ivreg2 ln_enroll_white i.metaread i.year i.metaread*i.year ln_fteteachers ln_cty_pop  i.e_schoolcommunitytype (indep=ins)  if privateindicator==1,first cluster(metaready1) partial( i.metaread i.year i.metaread*i.year ln_fteteachers ln_cty_pop  i.e_schoolcommunitytype)

What this does is, it drops tons of dummies created due to fixed effects - i.metaread i.year i.metaread*i.year (but not all of any one specific type of fixed effect dummies).

Then gives me this error:
Code:
Warning - endogenous variable(s) collinear with instruments
Vars now exogenous: indep
Warning - collinearities detected
Vars dropped:       _ImetXyea_5000_2010 _ImetXyea_9360_2010 _Ie_schoolc_221
                    _Ie_schoolc_277 ins

and then finally this:

Code:
Error: _ImetXyeaa80_2010 _ImetXyeaa160_2010 _ImetXyeaa200_2010 _ImetXyeaa220_2010 _ImetXyeaa240_2010 _ImetXyeaa280_2010 _ImetXyeaa320_2010 _ImetXyeaa380_20
> 10 _ImetXyeaa440_2010 _ImetXyeaa450_2010 _ImetXyeaa460_2010 _ImetXyeaa480_2010 _ImetXyeaa520_2010 _ImetXyeaa560_2010 _ImetXyeaa600_2010 _ImetXyeaa640_201
> 0 _ImetXyeaa680_2010 _ImetXyeaa720_2010 _ImetXyeaa760_2010 _ImetXyeaa840_2010 _ImetXyeaa860_2010 _ImetXyeaa870_2010 _ImetXyeaa880_2010 _ImetXyeaa920_2010
>  _ImetXyeaa960_2010 _ImetXyeaa1000_2010 _ImetXyeaa1020_2010 _ImetXyeaa1040_2010 _ImetXyeaa1080_2010 _ImetXyeaa1150_2010 _ImetXyeaa1240_2010 _ImetXyeaa126
> 0_2010 _ImetXyeaa1280_2010 _ImetXyeaa1320_2010 _ImetXyeaa1360_2010 _ImetXyeaa1400_2010 _ImetXyeaa1440_2010 _ImetXyeaa1520_2010 _ImetXyeaa1560_2010 _ImetX
> yeaa1600_2010 _ImetXyeaa1620_2010 _ImetXyeaa1640_2010 _ImetXyeaa1660_2010 _ImetXyeaa1680_2010 _ImetXyeaa1720_2010 _ImetXyeaa1740_2010 _ImetXyeaa1760_2010
>  _ImetXyeaa1840_2010 _ImetXyeaa1880_2010 _ImetXyeaa1920_2010 _ImetXyeaa1950_2010 _ImetXyeaa1960_2010 _ImetXyeaa2000_2010 _ImetXyeaa2020_2010 _ImetXyeaa20
> 30_2010 _ImetXyeaa2040_2010 _ImetXyeaa2080_2010 _ImetXyeaa2120_2010 _ImetXyeaa2160_2010 _ImetXyeaa2240_2010 _ImetXyeaa2290_2010 _ImetXyeaa2320_2010 _Imet
> Xyeaa2360_2010 _ImetXyeaa2400_2010 _ImetXyeaa2560_2010 _ImetXyeaa2580_2010 _ImetXyeaa2640_2010 _ImetXyeaa2650_2010 _ImetXyeaa2670_2010 _ImetXyeaa2680_201
> 0 _ImetXyeaa2700_2010 _ImetXyeaa2710_2010 _ImetXyeaa2760_2010 _ImetXyeaa2840_2010 _ImetXyeaa2900_2010 _ImetXyeaa2920_2010 _ImetXyeaa3000_2010 _ImetXyeaa3
> 060_2010 _ImetXyeaa3080_2010 _ImetXyeaa3120_2010 _ImetXyeaa3160_2010 _ImetXyeaa3180_2010 _ImetXyeaa3200_2010 _ImetXyeaa3240_2010 _ImetXyeaa3290_2010 _Ime
> tXyeaa3320_2010 _ImetXyeaa3350_2010 _ImetXyeaa3360_2010 _ImetXyeaa3480_2010 _ImetXyeaa3520_2010 _ImetXyeaa3560_2010 _ImetXyeaa3600_2010 _ImetXyeaa3610_20
> 10 _ImetXyeaa3620_2010 _ImetXyeaa3660_2010 _ImetXyeaa3680_2010 _ImetXyeaa3710_2010 _ImetXyeaa3720_2010 _ImetXyeaa3760_2010 _ImetXyeaa3800_2010 _ImetXyeaa
> 3810_2010 _ImetXyeaa3840_2010 _ImetXyeaa3880_2010 _ImetXyeaa3920_2010 _ImetXyeaa3980_2010 _ImetXyeaa4000_2010 _ImetXyeaa4040_2010 _ImetXyeaa4100_2010 _Im
> etXyeaa4120_2010 _ImetXyeaa4280_2010 _ImetXyeaa4320_2010 _ImetXyeaa4360_2010 _ImetXyeaa4400_2010 _ImetXyeaa4420_2010 _ImetXyeaa4480_2010 _ImetXyeaa4520_2
> 010 _ImetXyeaa4600_2010 _ImetXyeaa4680_2010 _ImetXyeaa4720_2010 _ImetXyeaa4800_2010 _ImetXyeaa4880_2010 _ImetXyeaa4890_2010 _ImetXyeaa4900_2010 _ImetXyea
> a4920_2010 _ImetXyeaa4940_2010 _ImetXyeaa5000_2010 _ImetXyeaa5080_2010 _ImetXyeaa5120_2010 _ImetXyeaa5160_2010 _ImetXyeaa5170_2010 _ImetXyeaa5190_2010 _I
> metXyeaa5200_2010 _ImetXyeaa5240_2010 _ImetXyeaa5280_2010 _ImetXyeaa5360_2010 _ImetXyeaa5560_2010 _ImetXyeaa5600_2010 _ImetXyeaa5720_2010 _ImetXyeaa5790_
> 2010 _ImetXyeaa5800_2010 _ImetXyeaa5880_2010 _ImetXyeaa5910_2010 _ImetXyeaa5920_2010 _ImetXyeaa5960_2010 _ImetXyeaa6080_2010 _ImetXyeaa6120_2010 _ImetXye
> aa6160_2010 _ImetXyeaa6200_2010 _ImetXyeaa6280_2010 _ImetXyeaa6440_2010 _ImetXyeaa6520_2010 _ImetXyeaa6560_2010 _ImetXyeaa6600_2010 _ImetXyeaa6640_2010 _
> ImetXyeaa6680_2010 _ImetXyeaa6690_2010 _ImetXyeaa6720_2010 _ImetXyeaa6740_2010 _ImetXyeaa6760_2010 _ImetXyeaa6780_2010 _ImetXyeaa6800_2010 _ImetXyeaa6820
> _2010 _ImetXyeaa6840_2010 _ImetXyeaa6880_2010 _ImetXyeaa6920_2010 _ImetXyeaa6960_2010 _ImetXyeaa6980_2010 _ImetXyeaa7040_2010 _ImetXyeaa7080_2010 _ImetXy
> eaa7120_2010 _ImetXyeaa7160_2010 _ImetXyeaa7240_2010 _ImetXyeaa7320_2010 _ImetXyeaa7360_2010 _ImetXyeaa7400_2010 _ImetXyeaa7480_2010 _ImetXyeaa7490_2010 
> _ImetXyeaa7500_2010 _ImetXyeaa7510_2010 _ImetXyeaa7520_2010 _ImetXyeaa7560_2010 _ImetXyeaa7600_2010 _ImetXyeaa7610_2010 _ImetXyeaa7620_2010 _ImetXyeaa768
> 0_2010 _ImetXyeaa7800_2010 _ImetXyeaa7840_2010 _ImetXyeaa7880_2010 _ImetXyeaa7920_2010 _ImetXyeaa8050_2010 _ImetXyeaa8120_2010 _ImetXyeaa8160_2010 _ImetX
> yeaa8200_2010 _ImetXyeaa8280_2010 _ImetXyeaa8320_2010 _ImetXyeaa8400_2010 _ImetXyeaa8480_2010 _ImetXyeaa8520_2010 _ImetXyeaa8560_2010 _ImetXyeaa8600_2010
>  _ImetXyeaa8640_2010 _ImetXyeaa8680_2010 _ImetXyeaa8760_2010 _ImetXyeaa8780_2010 _ImetXyeaa8800_2010 _ImetXyeaa8840_2010 _ImetXyeaa8920_2010 _ImetXyeaa89
> 40_2010 _ImetXyeaa8960_2010 _ImetXyeaa9040_2010 _ImetXyeaa9080_2010 _ImetXyeaa9140_2010 _ImetXyeaa9160_2010 _ImetXyeaa9200_2010 _ImetXyeaa9260_2010 _Imet
> Xyeaa9280_2010 _ImetXyeaa9320_2010 _ImetXyeaa9340_2010 _ImetXyeaa9360_2010 listed in partial() but not in list of regressors.
invalid syntax
r(198);

Eariler than trying ivreg2 I was running the following code:
Code:
xi: ivreg ln_enroll_white (indep=ins ) i.metaread i.year i.metaread*i.year ln_density ln_fteteachers ln_cty_pop mfteteacherspubs e_religiousorientation e_schooltype e_schoolcommunitytype if privateindicator==1, first cluster(metaready1)
It gives me appropriate results, but on the first stage all SE and p-values are returned .

I really need interaction fixed effects, because the sign on the instrument coefficient turn negative if I take off interaction effects from the code that I have shown in the last.