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The Forecast Combination Puzzle: A Simple Theoretical Explanation

https://doi.org/10.2139/ssrn.2498475
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15/15 checkable references clean · checked 2026-08-28

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

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The 15 checked references that resolve
resolves10.1017/CBO9780511810800
Matrix Algebra
resolves10.1007/978-1-4612-0919-5_38
Information Theory and an Extension of the Maximum Likelihood Principle
resolves10.2307/3008764
The Combination of Forecasts
resolves10.1016/j.jeconom.2003.10.018
On the harm that ignoring pretesting can cause
resolves10.1016/j.ijforecast.2013.02.005
Combining forecasts: An application to elections
resolves10.1016/j.jeconom.2008.08.022
Least-squares forecast averaging
resolves10.1198/016214503000000828
Frequentist Model Average Estimators
resolves10.1016/j.jeconom.2013.11.003
Is there an optimal forecast combination?
resolves10.1017/s0266466600009403
The Effect of Model Selection on Confidence Regions and Prediction Regions
resolves10.1198/jasa.2011.tm09478
Optimal Weight Choice for Frequentist Model Average Estimators
resolves10.1111/joes.12094
WEIGHTED‐AVERAGE LEAST SQUARES (WALS): A SURVEY
resolves10.1080/00401706.1973.10489103
Some Comments on <i>C</i> <sub> <i>p</i> </sub>
resolves10.1017/s0266466600004382
Effects of Model Selection on Inference
resolves10.1214/aos/1176344136
Estimating the Dimension of a Model
resolves10.1111/j.1468-0084.2008.00541.x
A Simple Explanation of the Forecast Combination Puzzle*
The 4 references without a DOI — listed, not checked
no DOI — not checkedref3
no DOI — not checkedref5
no DOI — not checkedref7
no DOI — not checkedref19
What this badge says. CiteStamped means the CHECKABLE references of this work were clean at the dated check: each resolved to a known work in a public registry, and none carried a retraction notice at that time. It says nothing about the quality, findings, or importance of the work itself, and nothing about references deposited without a DOI.

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