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Yes I know how to install Ubuntu LiveCD on a USB stick, but what I want to know how to do is how to install full Ubuntu on the same USB stick that the LiveCD is booted from. So, install Ubuntu LiveCD on USB stick, boot from it, then install a complete installation of Ubuntu on the same USB stick that is running the LiveCD.

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That depends on how you have created your USB stick. If you used dd to copy the image to the raw device (not a partition) then I don't see how you could add the necessary partitions afterwards.

If you have a partition table on the stick then just create the necessary partitions and select the appropriate partitioning scheme you want to use. This will probably overwrite the bootloader or it's configuration for the LiveISO which can be tricky to work around, but if you intend to boot UEFI and loop mount the ISO like in section 2 from How to create UEFI-only bootable USB live media? then it should be possible to install to another partition on the same storage device and use the FAT partition as ESP.

It's almost the reverse of putting a LiveISO onto your ESP and configuring it according to the instructions in the link. You can also create a BIOS bootable partition on GPT is you need it, setting up MBR booting could be done in almost the same way (embedding the MBR image is a bit tricky) but I haven't looked into that.

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