Bruce E. Hansen
"Model Averaging, Asymptotic Risk, and Regressor Groups"
Quantitative Economcis (2014)

The following programs replicate the simulation work
r code

The following files contain the data and code to replicate the empirical work
Data, Stata and r 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.