This paper investigates the returns to education in two Southern EU countries, Portugal and Spain, both characterized by a relatively high self-employment rate. The impact of education on both wage earners and the self-employed is analyzed by using a comparable data set coming from the European Community Household Panel during the period 1994-2000. To correct for the ability bias and recover the education coefficients, an Efficient Generalized Instrumental Variable technique is applied. Results show that returns are different across the two countries as well as across the two employment statuses.