Gael M. Martin, Rubén Loaiza Maya, Worapree Maneesoonthorn, David T. Frazier and Andrés Ramírez Hassan, professor of our Economics Department, used simulation exercises to check the predictive performance of single parametric models, and forecasts produced by linear combinations of predictive distributions to document several novel findings within this paradigm that highlights the important interplay between the true data generating process, the assumed predictive model and the scoring rule.
Read the paper