Summary
The properties of Bayesian composite forecasts are studied. It is argued, and illustrated with an example, that the asymptotic performance of such composite forecasts depends on the validity of a maintained assumption, namely, that one of the models among those whose forecasts are combined is the true data-generating process. The implications of this phenomenon are explored.
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© 1991 Springer-Verlag Berlin Heidelberg
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Diebold, F.X. (1991). A Note on Bayesian Forecast Combination Procedures. In: Hackl, P., Westlund, A.H. (eds) Economic Structural Change. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-06824-3_15
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DOI: https://doi.org/10.1007/978-3-662-06824-3_15
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