AT+CSTT throws an error
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Before this applying AT+CSTT command check if the modem is attached to GPRS using the AT+CGATT=? command. If the result is +CGATT: 0 this means the modem is not attached so attach the modem using AT+CGATT=1 command.

This will solve the issue as it was in my case. Even applying AT+CIPCLOSE=0 and AT+CIPSHUT didn't help until I checked that that the result of AT+CGATT=? was returning +CGATT: 0 and applied AT+CGATT=1.