Xu Cheng and Bruce E. Hansen
Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach

Journal of Econometrics (2015) 186, 280-293

The following programs replicate the simulation work
Matlab code

The following files contain the data and code to replicate the empirical work
Data and Gauss code

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.