Instrument variable.
If some variables are correlated with error term, you can use instrument variables to substitute them so that you can obtain consistent estimators.
Greene's book has detailed information about IV estimator.
[此贴子已经被作者于2006-6-13 11:33:07编辑过]
when you run OLS, the regressors should be uncorrelated with the error terms, other wise you can't use OLS. The least squares estimator will not be consistent. For example if one of your regressor X is correlated with the error term. You should pick some varialbe Y to help you to do the estimation. Please also check GMM and 2SLS.