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Instrumental Variables Regression
Related Terms: Instrumental Variables (IV); Two Stage Least Squares Regression (2SLS); Simultaneous Equations; Three-Stage Least Squares (3SLS); Generalized Method of Moments (GMM)

A methodological technique for producing unbiased estimates of parameter coefficients when one or more of the independent variables is correlated with the error term. The most common computational approaches for estimating an instrumental variables regression are two- and three-stage least squares (2SLS and 3SLS).

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Further Reading
Baum, C.M., et al.. Instrumental Variables and GMM: Estimation and Testing. Boston College Economics Working Paper 545, 2002.

Honore, B.E. and Hu.L.. ''On the Performance of Some Robust Instrument Variable Estimators.'' Journal of Business & Economics Statistics, 2004, pp.30-39.

Arellano, M. ''Sargan's Instrumental Variables Estimation and the Generalized Method of Moments.'' Journal of Business & Economics Statistics Vol. 20, 2002, pp.450-459.

Staiger, D.. Instrumental Variables: Academy for Health Services Research and Health Policy Cyber Seminar 2002. Available at http://www.dartmouth.edu/~dstaiger/Papers/Staiger%20IV%20Handout.pdf .