Pooled forecasts frequently outperform individual forecasts of economic time series. This paper shows that the introduction of model uncertainty into the formation of expectations can account for the regularity. We conjecture that agents learn in a Bayesian way, using an optimally designed...

Pooled forecasts frequently outperform individual forecasts of economic time series. This paper shows that the introduction of model uncertainty into the formation of expectations can account for the regularity. We conjecture that agents learn in a Bayesian way, using an optimally designed...