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14-127/III - The Forecast Combination Puzzle: A Simple Theoretical Explanation


  • Authors
    Gerda Claeskens, KU Leuven, Belgium; Jan Magnus, VU University Amsterdam, the Netherlands; Andrey Vasnev, University of Sydney, Australia; Wendun Wang, Erasmus University, Rotterdam, the Netherlands
  • Publication date
    September 19, 2014
  • Keywords
    forecast combination, optimal weights, model selection
  • JEL
    C53, C52