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.