I need to run a two-way fixed effects regression on a panel dataset and enroll instrumental variables (IVs) and 2SLS.
I thought I had two options but it seems neither of them work well.
Option 1: The syslin procedure.
This procedure seems to have a good package to deal with endogeneity, IV and 2SLS but be not compatible with panel data.
Option 2: The panel procedure
I use this procedure a lot. It works well with panel data and has a statement named "INSTRUMENTS". However, according to the documentation, I find this statement is deeply binded with the moment condition equations of the dynamic panel estimator, which is not my case.
So can someone suggest me a good procedure to handle my case?
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