Read Me File

R programs to support
"Model Averaging, Asymptotic Risk, and Regressor Groups"
by Bruce E. Hansen
http:/www.ssc.wisc.edu

The following R files replicate the simulation work reported in the paper

mse1.r
mse2.r
mse3.r

The program mse1.r creates Figures 1-4 displayed in the paper, plus more detailed versions figures shown in the suplemental appendix. The figures are saved with the names
fig1.eps	fig1.pdf
fig2.eps	fig2.pdf
fig3.eps	fig3.pdf
fig4.eps	fig4.pdf
model1.1.eps	model1.1.pdf
model1.2.eps	model1.2.pdf
model1.3.eps	model1.3.pdf
model1.4.eps	model1.4.pdf
The eps files are intended for inclusion in the paper. The pdf files have extra information in the title.

The program mse2.r creates the figures for the supplemental appendix for models 2-5. They are saved with the names of the form modela.b.eps & modela.b.pdf where a denotes model (runs 2 through 5) and b runs from 1 to 4 and corresponds to the four values of alpha.

The program mse3.r is for the time series simulation. It creates the figures
fig5.eps	fig5.pdf
for the paper, and the figures
time.eps	time.pdf
for the supplemental appendix.
