Bruce E. Hansen
"Model Averaging, Asymptotic Risk, and Regressor Groups"
Quantitative Economcis (2014)
The following programs replicate the simulation work
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.