The Combination of Forecasts

By J. M. Bates, Clive W. J. Granger. 1969

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FFORMA: Feature-based forecast model averaging (2020, background): “There has been a vast literature on the latter motivated by the seminal work of Bates & Granger (1969) and followed by a plethora of empirical applications showing that combination forecasts are often superior to their individual counterparts (see, Clemen 1989; Timmermann 2006, for example).”
Optimal combinations of realised volatility estimators (2009, background): “…literature that combinations of individual forecasts often out-perform even the best individual forecast, see Becker and Clements (2008), Bates and Granger (1969), Newbold and Granger (1974), and Stock and Watson (2004), for example, and see Clemen (1989) and Timmermann (2006) for…”
Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, methodology): “The idea of combining forecasts goes back to the late 1960s and the seminal papers of Bates and Granger (1969) and Crane and Crotty (1967).”
Fused Estimators of the Central Subspace in Sufficient Dimension Reduction (2014, methodology): “There have been many studies on forecast combinations since Bates and Granger (1969), see Timmermann (2006) for an overview. However, forecast combination methods cannot be applied directly in SDR without a clear predictive goal. Recently, Zhu, Zhu, and Feng (2010) developed cumulative mean estimati”
Quantile aggregation of density forecasts (2014, unknown): “Forecast Case (1) Case (2) Case (3) KLIC KS.”
Forecast combinations for value at risk and expected shortfall (2020, background): “Since the seminal work of Bates and Granger (1969), a large body of literature has developed on combining forecasts of the conditional mean, with empirical support being available across a variety of applications.”
Predicting financial distress and corporate failure: A review from the state-of-the-art definitions, modeling, sampling, and featuring approaches (2014, background): “Though the pioneering work on ensemble was done early by Bates and Granger [12], its application to FDP firstly emerged in Jo and Han [52] as far as we know and began to rise (1) One algorithm is applied to choose features for another classification algorithm One algorithm is applied to optimize par”
Forecasting economic variables with nonlinear models (2005, methodology): “Following Granger and Bates (1969), the composite point forecast from models M1 and M2 is given by b y t+hjt = (1 t)b y t+hjt + tb y t+hjt (43) where t; 0 t 1; is the weight of the h-periods-ahead forecast b y t+hjt of yt+h: Suppose that the multi-period forecasts from these models are obtained nume”
The Asymmetric Business Cycle (2012, background): “It has long been understood in the forecasting literature that combined forecasts can outperform individual forecasts (see, for example, Bates & Granger, 1969).”
Persistence in forecasting performance and conditional combination strategies (2006, background): “In their seminal paper on forecast combinations, Bates and Granger (1969) already pointed to the importance of changes in models’ relative performance over time as a determinant of the scope for combining forecasts. Key questions that arise when forecast combinations are considered is how wide a set”