Chan, Felix; Pauwels, Laurent; Soltyk, Sylvia - In: Macroeconomic forecasting in the era of big data : …, (pp. 329-357). 2020
This chapter summarises the recent approaches to optimal forecast combination from a frequentist perspective. The availability of big data leads to the development of many different models of the same macroeconomic variables. The challenge is to seek the best way to combine all relevant...