No-Regret Forecasting with Egalitarian Committees
Econometrics
2021-09-29 v1
Abstract
The forecast combination puzzle is often found in literature: The equal-weight scheme tends to outperform sophisticated methods of combining individual forecasts. Exploiting this finding, we propose a hedge egalitarian committees algorithm (HECA), which can be implemented via mixed integer quadratic programming. Specifically, egalitarian committees are formed by the ridge regression with shrinkage toward equal weights; subsequently, the forecasts provided by these committees are averaged by the hedge algorithm. We establish the no-regret property of HECA. Using data collected from the ECB Survey of Professional Forecasters, we find the superiority of HECA relative to the equal-weight scheme during the COVID-19 recession.
Cite
@article{arxiv.2109.13801,
title = {No-Regret Forecasting with Egalitarian Committees},
author = {Jiun-Hua Su},
journal= {arXiv preprint arXiv:2109.13801},
year = {2021}
}