Bruce E. Hansen
"Least Squares Model Averaging"
Econometrica (2007)

This program calculates the estimator described in the above paper, the Mallows weights for least squares model averaging.

Gauss Program

Matlab Program

Model Averaging Programs (Gauss, Matlab, R)

Model Averaging Programs (Stata)

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.