"Least Squares Model Averaging." Econometrica, (2007). [Download].
"Least Squares Forecast Averaging." Journal of Econometrics (2008). [Download].
"Averaging Estimators for Autoregressions with a Near Unit Root." Journal of Econometrics (2010). [Download].
"Jackknife Model Averaging" (with Jeffrey Racine) Journal of Econometrics (2012). [Download].
General Model Averaging Programs (Gauss, Matlab, R). [Download].
General Model Averaging Programs (Stata). [Download].
"Nonparametric Sieve Regression: Least Squares, Averaging Least Squares, and Cross-Validation". Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics (2014) [Download].
"Efficient Shrinkage in Parametric Models". Journal of Econometrics (2016) [Download].
"Model Averaging, Asymptotic Risk, and Regressor Groups" Quantitative Economics (2014) [Download].
"Shrinkage Efficiency Bounds" Econometric Theory (2015) [Download].
"Forecasting with Factor-Augmented Regression" Journal of Econometrics (2015) with Xu Cheng [Download].
"The Risk of James-Stein and Lasso Shrinkage" Econometric Reviews (2016) [Download].
"A Stein-like 2SLS Estimator", Econometric Reviews, forthcoming [Download].