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We propose modified two\u2010stage least squares (2SLS) and modified 3SLS procedures where the conditional heteroskedasticity is taken into account, which are natural extensions of the traditional 2SLS and 3SLS estimators and which achieve a lower variance. We recommend the use of these modified 2SLS and 3SLS procedures in practice instead of alternative estimators like limited\u2010information maximum likelihood\/full\u2010information maximum likelihood, where the non\u2010existence of moments leads to extreme values, and also for ease of computation. It is shown theoretically and with simulation that in some cases 2SLS, 3SLS and our modified 2SLS and 3SLS procedures can have very severe biases (including the weak instruments case), and we present bias correction procedures to apply in practice along the lines of Flores\u2010Lagunes (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib16\">2007<\/jats:ext-link>). Our new estimation procedures can also be used to extend the test for weak instruments of Stock and Yogo (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib39\">2005<\/jats:ext-link>) and to allow for conditional heteroskedasticity. Finally, we show the usefulness of our estimation procedures with an application to the demand and supply of fish. Copyright \u00a9 2010 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1203","type":"journal-article","created":{"date-parts":[[2010,7,15]],"date-time":"2010-07-15T05:57:53Z","timestamp":1279173473000},"page":"474-499","source":"Crossref","is-referenced-by-count":4,"title":["Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances"],"prefix":"10.1002","volume":"27","author":[{"given":"Emma M.","family":"Iglesias","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Garry D. 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