arXiv 28 Sep 2021 · Econometrics
arXiv:2109.13801 · PDF · DOI · OpenAlex · Extracted main text
The forecast combination puzzle is often found in literature: The equal-weight scheme tends to outperform sophisticated methods of combining individual forecasts. Exploiting this finding, we propose a hedge egalitarian committees algorithm (HECA), which can be implemented via mixed integer quadratic programming. Specifically, egalitarian committees are formed by the ridge regression with shrinkage toward equal weights; subsequently, the forecasts provided by these committees are averaged by the hedge algorithm. We establish the no-regret property of HECA. Using data collected from the ECB Survey of Professional Forecasters, we find the superiority of HECA relative to the equal-weight scheme during the COVID-19 recession.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Diebold, F. X. and M. Shin (2019) Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian LASSO and its Derivatives | 1.000 | 12 | 3 | 100% |
| 2 | Conflitti, C., C. De Mol, and D. Giannone (2015) Optimal Combination of Survey Forecasts | 1.000 | 5 | 3 | 100% |
| 3 | Freund, Y. and R. E. Schapire (1997) A Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting | 0.909 | 8 | 4 | 75% |
| 4 | Elliott, G. and A. Timmermann (2016) Economic Forecasting | 0.874 | 8 | 2 | 100% |
| 5 | Genre, V., G. Kenny, A. Meyler, and A. Timmermann (2013) Combining Expert Forecasts: Can Anything Beat the Simple Average? | 0.874 | 5 | 2 | 100% |
| 6 | Cesa-Bianchi, N. and F. Orabona (2021) Online Learning Algorithms | 0.737 | 3 | 2 | 100% |
| 7 | Cesa-Bianchi, N. and G. Lugosi (2006) Prediction, Learning, and Games | 0.644 | 4 | 1 | 100% |
| 8 | Manski, C. F (2013) Public Policy in an Uncertain World | 0.644 | 2 | 2 | 100% |
| 9 | Timmermann, A (2006) Forecast Combinations, Elsevier, vol. 1 of | 0.644 | 2 | 2 | 100% |
| 10 | Bates, J. M. and C. W. J. Granger (1969) The Combination of Forecasts | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 53 scored citations.