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Abstract This paper puts forward a new and simple method to combine forecasts, which is particularly useful when the forecasts are strongly correlated. It is based on the Mincer Zarnowitz regression, and a subsequent determination using Shapley values of the weights of the forecasts in a new combination. For a stylized case, it is proved that such a Shapley‐value‐based combination improves upon an equal‐weight combination. Simulation experiments and a detailed illustration show the merits of the Shapley‐value‐based forecast combination.
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Franses et al. (Wed,) studied this question.
www.synapsesocial.com/papers/68e5d24cb6db6435875687bd — DOI: https://doi.org/10.1002/for.3178
Philip Hans Franses
Jiahui Zou
Wendun Wang
Journal of Forecasting
Erasmus University Rotterdam
Capital University of Economics and Business
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