fixed effect, instrumental variable regression like xtivreg in stata (FE IV regression)

plm, r, stata

Solution

I can just include dummy variables but that just gets impossible when the number of groups increases

By "impossible," do you mean "computationally impossible"? If so, check out the `plm` package, which was designed to handle cases that would otherwise be computationally infeasible, and which permits fixed-effects IV.

Start with the `plm` vignette. It will quickly make clear whether `plm` is what you're looking for.

Update 2018 December 03: the `estimatr` package will also do what you want. It's faster and easier to use than the `plm` package.

Problem

Original source