[2021-11-26] Dr. Jiun-Hua Su, Academia Sinica, "No-Regret Forecasting with Egalitarian Committees"

Poster:Post date:2021-11-10
Title: No-Regret Forecasting with Egalitarian Committees
Date: 2021-11-26 2:20pm-3:30pm
Location: R103, CSIE
Speaker: Dr. Jiun-Hua Su, Academia Sinica
Hosted by: Prof. Yen-Huan Li


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.
Jiun-Hua Su joined the Institute of Economics, Academia Sinica as an Assistant Research Fellow after receiving his P.D. degree in Economics at the University of California, Berkeley in 2018. This summer, he was selected as one of the emerging young scholars for 2030 Cross-Generation Young Scholars Program (Ministry of Science & Technology). His current research interests are at the interface between econometrics and statistical learning.
Last modification time:2021-11-10 AM 10:33

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