"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].