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2.6 Why use equal weights to combine the forecasts?

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A widespread concern when combining forecasts is the question of how best to weight the components, and many scholars have proposed different methods for doing so. However, an early review of more than two hundred studies from different fields concluded that the question of how to combine forecasts does not seem to be critical to the forecast accuracy. In fact, it was found that the simple average (i.e., assigning equal weights to components) often provides more accurate forecasts than complex approaches to estimating ‘‘optimal’’ combining procedures (Clemen, 1989). Empirical research since then repeatedly confirmed these findings (Graefe et al. 2015). For reasons why equal weights work so well, read our piece on combining forecasts.

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