The Erickson-Whited high-order moment estimators have been superceded by high-order cumulant estimators. They are asymptotically equivalent to the moment estimators but they have closed form solutions. You can read about them here. Limited Matlab code is available now. Fully-functional Matlab and Stata code will be coming soon!
It looks like I have been in the business of writing surveys lately. Ilya Strebulaev and I have a tutorial on dynamic corporate finance: Dynamic Models and Structural Estimation in Corporate Finance. Michael Roberts and I have a survey of Endogeneity in Empirical Corporate Finance
Nontechnical lecture slides on structural estimation at the 2011 FMA.
Technical lecture slides on structural estimation at the 2010 FMA.
Technical lecture video on structural estimation at the 2010 FMA.