IV Regression

Update: Since this post, I discovered a bunch of better ways to conduct 2SLS regression in R. These methods do not allow the user to look under the hood to see what is going on (so this post may be instructive anyway). If you're interested, ivreg() in AER, tsls() in sem and systemfit() in systemfit are good options. My package tonymisc also has a command, iv() that works when some or all of these fail. I'm working on making that function better (5/18/2011)

Here is my code from a previous post that performs IV regression. This may be easier to copy into an R script. I will post a video tutorial using this code shortly.