Forecast combinations have been repeatedly shown to outperform individual professional forecasts and complicated time series models in accuracy. Their ease of use and accuracy makes them important tools for policy decisions. While simple combinations work remarkably well in some situations,...

Forecast combinations have been repeatedly shown to outperform individual professional forecasts and complicated time series models in accuracy. Their ease of use and accuracy makes them important tools for policy decisions. While simple combinations work remarkably well in some situations,...

This Paper proposes a new forecast combination method that lets the combination weights be driven by regime switching in a latent state variable. An empirical application that combines forecasts from survey data and time series models finds that the proposed regime switching combination scheme...