Forecaster Diversity and the Benefits of Combining Forecasts
The expected error variance of a combined forecast is necessarily lower than that of an individual forecast, but in practice there may be considerable variation around these expected values. This paper introduces a measure of the benefit from combining, the probability of a reduction in error variance, which recognizes this problem. The measure is applied to data on the forecasts and forecasting methods of a panel of U.S. economists to determine how the benefits of combining vary with the number of forecasts combined, and with the diversity in theories and techniques among the component forecasts.
Volume (Year): 41 (1995)
Issue (Month): 1 (January)
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