Simple data format (n=30,000):
| INDIVIDUAL ID | PROVINCE | YEAR | 
| 0001 | British Columbia | 1999 | 
| 0002 | British Columbia | 1999 | 
| 0003 | British Columbia | 2003 | 
| 0004 | British Columbia | 2003 | 
| 0005 | British Columbia | 2003 | 
| 0006 | Alberta | 1999 | 
| 0007 | Alberta | 1999 | 
| 0008 | Alberta | 2003 | 
The two options I'm considering are:
1. Entering dummy variables for i.province and i.year into an ivreg2 model. I'm not sure this is a valid approach because I haven't seen it used in 2SLS before and I'm not using panel data. The model would be:
Code:
ivreg2 y (x=z) control_1 control_2 i.year i.province
Code:
xtset province year
Code:
xtset province xtivreg y (x=z) control_1 control_2 i.year, fe
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