This paper investigates forecast aggregation via the random subspace regressions method (RSM) and explores the potential link between RSM and the Shapley value decomposition (SVD) using the US GDP growth rates. This technique combination enables handling high-dimensional data and reveals the...

This paper investigates forecast aggregation via the random subspace regressions method (RSM) and explores the potential link between RSM and the Shapley value decomposition (SVD) using the US GDP growth rates. This technique combination enables handling high-dimensional data and reveals the...

This paper introduces the concept of a Forecast Combination Equilibrium to model boundedly rational agents who combine a menu of different forecasts using insights from the forecasting literature to mimic the behavior of actual forecasters. The equilibrium concept is consistent with rational...

When the objective is to forecast a variable of interest but with many explanatory variables available, one could possibly improve the forecast by carefully integrating them. There are generally two directions one could proceed: combination of forecasts (CF) or combination of information (CI)....