The Forecast Combination Puzzle: A Simple Theoretical Explanation
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- Claeskens, Gerda & Magnus, Jan R. & Vasnev, Andrey L. & Wang, Wendun, 2016. "The forecast combination puzzle: A simple theoretical explanation," International Journal of Forecasting, Elsevier, vol. 32(3), pages 754-762.
- Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang, 2016. "The forecast combination puzzle: a simple theoretical explanation," Working Papers of Department of Decision Sciences and Information Management, Leuven 532152, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
References listed on IDEAS
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- Jeremy Smith & Kenneth F. Wallis, 2009. "A Simple Explanation of the Forecast Combination Puzzle," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 331-355, June.
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More about this item
Keywordsforecast combination; optimal weights; model selection;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2014-11-12 (Econometrics)
- NEP-ECM-2015-04-25 (Econometrics)
- NEP-ETS-2015-04-25 (Econometric Time Series)
- NEP-FOR-2015-04-25 (Forecasting)
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