The objective of the paper is to show that non parametric instrumental variables estimation is easy to implement and is a very powerful tool for the estimation of structural econometric models. A particular attention will be devoted to the choice of the regularization parameters and we propose some data driven methods. The basic model is extended to models containing both endogenous and exogenous variables and to semi parametric models. We conclude the paper by considering two non linear problems: the case of non separable models (with application to endogeneity in duration models) and the game theoretic models. The paper presents some applications of the theory of ill posed inverse problems to econometrics and is based on simulations. Some theoretical results (Bayesian or frequentist) will complete this presentation.