An Inconvenient Truth about Forecast Combinations

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...

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Bibliographic Details
Main Authors:	Pablo Pincheira-Brown, Andrea Bentancor, Nicolás Hardy
Format:	Article
Language:	English
Published:	MDPI AG 2023-09-01
Series:	Mathematics
Subjects:	forecast combinations time series mathematics predictability inflation efficiency
Online Access:	https://www.mdpi.com/2227-7390/11/18/3806

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