Summary In this paper we consider frequentist model averaging for principal components augmented regressions illustrated with the Fernandez et al. (2001) data set on economic growth determinants. We compare and contrast our method and findings with the WALS approach of Magnus et al. (2010).

This paper offers two innovations for empirical growth research. First, the paper discusses principal components augmented regressions to take into account all available information in well-behaved regressions. Second, the paper proposes a frequentist model averaging framework as an alternative...