Bruce E. Hansen
"Averaging Estimators for Autoregressions with a Near Unit Root"
Journal of Econometrics (2010)
This file contains the Gauss code which creates the figures in the paper, and Gauss code to calculate the estimator described in the above paper, the Mallows weights for least squares model averaging.
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.