Bruce E. Hansen
"Efficient Shrinkage in Parametric Models"
Journal of Econometrics (2016), 190, 115-132

This program replicates the simulation work in the paper

Gauss and Matlab 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.