Averaging and the Optimal Combination of Forecasts

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How researchers see this paper

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The Forecast Combination Puzzle: A Simple Theoretical Explanation (2016, methodology): “This is the case in Bates and Granger (1969) and it remains the case in later contributions, important and insightful as they may be, such as Hansen (2008), Elliott (2011), Liang et al. (2011), and Hsiao and Wan (2014).”
Forecast combinations: An over 50-year review (2022, background): “Elliott (2011) characterized the potential bounds on the size of gains from the “optimal” weights over the equal weights and illustrated that these gains are often too small to balance estimation error, providing a supplementary explanation of the puzzle for the explanation of large estimation…”
Some Theoretical Results on Forecast Combinations (2018, unknown): “There have several recent attempts to explaining the forecast combination puzzle, for example by Smith and Wallis (2009), Elliott (2011), Vasnev et al. (2014).”