Bruce E. Hansen and Jeffrey Racine
"Jackknife Model Averaging"
Journal of Econometrics, 2012
This program calculates Jackknife weights for least squares model averaging.
Gauss, Matlab, and R Programs
Programs for Stata
Link to Abstract and PDF File of Paper
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.