Weighting models by performance is better than taking simple averages, researchers say

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The European Central Bank

A working paper published by the European Central Bank examines the use of combinations of different predictive models in forecasting inflation.

In Forecast combination for euro area inflation: a cure in times of crisis? Kirstin Hubrich and Frauke Skudelny use a variety of approaches to combining models.

Since the performance of different models varies considerably over time, they recommend using performance-based forecast combination methods. In particular they look at a method putting more

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