The Forecast Combination Puzzle: A Simple Theoretical Explanation

By Gerda Claeskens, J. R. Magnus, Andrey L. Vasnev, Wendung Wang. 2016

258 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Fotios Petropoulos
2. Konstantinos Nikolopoulos
3. Rob J Hyndman
4. Nikolaos Kourentzes
5. Vassilios Assimakopoulos
6. Evangelos Spiliotis
7. Spyros Makridakis
8. Christoph Bergmeir

In Management Science and Operations Research

1. Fotios Petropoulos
2. Rob J Hyndman
3. Konstantinos Nikolopoulos
4. Nikolaos Kourentzes
5. Vassilios Assimakopoulos
6. Spyros Makridakis
7. Evangelos Spiliotis
8. Christoph Bergmeir

Citations in the corpus

• Model Averaging and Its Use in Economics (2017, background): “se to equal, then a simple average of competing forecasts (i.e. assuming the weights are equal) can dominate a forecast combination with weights that are estimated from the data. Along similar lines, Claeskens et al. (2015) also provide an explanation for the forecast combination puzzle, but they ex”
• Forecasting: theory and practice (2020, background): “, 2018a; Timmermann, 2006), and the popularity of the simple average (Chan and Pauwels, 2018; Smith and Wallis, 2009a; Claeskens et al., 2016).”