Show simple item record

dc.contributor.authorChan, Felix
dc.contributor.authorPauwels, L.
dc.identifier.citationChan, F. and Pauwels, L. 2018. Some Theoretical Results on Forecast Combinations. International Journal of Forecasting. 34 (1): pp. 64-74.

This paper proposes a framework for the analysis of the theoretical properties of forecast combination, with the forecast performance being measured in terms of mean squared forecast errors (MSFE). Such a framework is useful for deriving all existing results with ease. In addition, it also provides insights into two forecast combination puzzles. Specifically, it investigates why a simple average of forecasts often outperforms forecasts from single models in terms of MSFEs, and why a more complicated weighting scheme does not always perform better than a simple average. In addition, this paper presents two new findings that are particularly relevant in practice. First, the MSFE of a forecast combination decreases as the number of models increases. Second, the conventional approach to the selection of optimal models, based on a simple comparison of MSFEs without further statistical testing, leads to a biased selection.

dc.titleSome Theoretical Results on Forecast Combinations
dc.typeJournal Article
dcterms.source.titleInternational Journal of Forecasting
curtin.departmentSchool of Economics and Finance
curtin.accessStatusFulltext not available

Files in this item


There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record