Bruce E. Hansen

Papers for Seminar

My seminar will summarize my work in model averaging, which includes the following papers.

If you want to print and read one paper, I recommend "Least Squares Forecast Averaging".

"Least Squares Model Averaging," Econometrica, (2007), 75, 1175-1189, PDF .
"Jackknife Model Averaging," (with Jeffrey Racine). July 2007 PDF .
"Least Squares Forecast Averaging," September 2007 PDF .
"Averaging Estimators for Autoregressions with a Near Unit Root," May 2007 PDF .
"Averaging Estimators for Regressions with a Possible Structural Break," October 2007, nearly complete.