Code
Measurement Error:
Stata code for the higher-order cumulant estimators in Erickson, Jiang, and Whited (2014). It also computes the high-order moment estimators in Erickson and Whited (2002).
User friendly versions of the program that Tim Erickson and I used in our paper on signing regression coefficients in the errors-in-variables model: Stata, Matlab, SAS.
Structural Estimation:
Jay Kahn’s Github repository for Bazdrech, Kahn, Whited (2018). The code is also on the RFS site. This is C++ and Fortran code for doing SMD estimation of dynamic models.
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