An Inconvenient Truth about Forecast Combinations
It is well-known that the weighted averages of two competing forecasts may reduce mean squared prediction errors (MSPE) and may also introduce certain inefficiencies. In this paper, we take an in-depth view of one particular type of inefficiency stemming from simple combination schemes: Mincer and Z...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-09-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/18/3806 |