The folder contains matlab codes for simulation results reported in "Forecasting with Factor-augmented regression: a frequentist model averaging approach" by Xu Cheng and Bruce Hansen.

1. main_prog.m is the main program that generates the simulated results and plot figures.

2. gma_modlm computes various estimators based on model selection and model averaging.

3. mse_cal.m calculates the MSE of various estimators.

All other programs (minindc.m, nbplog.m, seqa.m, standard.m) are taken from Serena Ng's webiste for the implementation of the informaiton criteria in Bai and Ng (2002).