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This repository includes ado files, demo data and do file to implement the PWMSE criteria proposed in: Xiaomeng Cui, Bulat Gafarov, Dalia Ghanem, Todd Kuffner, On model selection criteria for climate change impact studies, Journal of Econometrics, Volume 239, Issue 1, 2024.
Home Page: https://doi.org/10.1016/j.jeconom.2023.105511