> Check out IV estimation with the 'tsls' command. May I make the
>> unrelated suggestion to also test if the pooling is actually adequate.
> Running the panel diagnostics informed me that
> Residual variance: 1.35107e+06/(822 - 60) = 1773.06
> Joint significance of differing group means:
> F(46, 762) = -1.99828e-14 with p-value 1.79769e+308

What version of gretl is this? (That p-value means "NA", as it obviously
has to be if the F-statistic is numerically negative, but I thought we'd
purged all cases of printing NA as if it were a number.)

v1.9.12. I'm not able to build the latest version of -gretl- on my Linux machine (you may remember the fun and games that ensued last time I tried this earlier this year), so I use the latest version that's made available from the repository. 
> I can't properly run IV2SLS models in -gretl- because I only have one IV
> and the main model has 96 predictors, so it responds that I don't have
> enough instruments.

That sounds like a non-sequitur: for one endogeous variable you need one
additional instrument, regardless of how many exogenous regressors are
included in the model. Have you looked up the syntax of gretl's "tsls"?

tsls <dependent-var> <regressors> ; <instruments>

where you repeat any exogenous regressors as (their own) instruments in
the second list, behind the semicolon. For example

tsls y const x1 x2 n ; const x1 x2 z

where 'n' represents an endogenous regressor and 'z' the associated

I consulted the command reference for -tsls- and it displayed a rather different example (one where the endogs were completely different to the exogs), but no matter: let me try that when I'm on my machine and I'll report back to you. I've been using point-and-click to run IV2SLS on -gretl-, so it would do me good to run it as syntax.
> So, what to do in order to test the endogeneity of my regressor in a
> 'standard' model?

Well, what sort of test do you have in mind, other than running an IV
model and comparing the results with OLS via a Hausman test? No
residual-based test is available since the residuals are by construction
orthogonal to all the regressors. (You get a Hausman test automatically
when you use the "tsls" command in gretl.

Okay, thanks Allin. Over and out. :)