用 ivreg2，是很好用的ado file。从Stata的指令窗口输入 ssc install ivreg2 就可以安装了。

谢谢LS，已经装了。很好用。就是有些具体功能看得不是特别懂。除了help file外，不知道哪里有更详尽的解释？

难道ivreg2的cluster可以加两个变量吗？

可以的。

    cluster(varname) specifies that the observations are independent across groups (clusters) but not
        necessarily independent within groups.  varname specifies to which group each observation belongs;
        e.g., cluster(personid) in data with repeated observations on individuals.  cluster() can be used
        with pweights to produce estimates for unstratified cluster-sampled data, but svy: regress is a
        command especially designed for survey data; see [R] regress.  Specifying cluster() implies robust.

这是帮助，应该是一个变量才对