A0791
Title: No-regret forecasting with egalitarian committees
Authors: Jiun-Hua Su - Academia Sinica (Taiwan) [presenting]
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.
