Bruce E. Hansen
"Least Squares Forecast Averaging" Journal of Econometrics, 2008

This file contains programs which replicate the simulations described in the above paper.

Gauss Program and Data

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.