Is combining (averaging) forecasts a good idea?
It is still common to hear the recommendation that one should search for the one correct model of reality to accurately forecast what will happen, and that averaging forecasts from different methods yields only average performance. These and other reasons why people do not combine forecasts are described in Graefe et al. (2010). As intellectually appealing as these arguments might seem, a large body of research confirms that combining forecasts from different methods and from independent experts improves accuracy. One perfect model is seldom applicable in the management and social sciences. Combining helps forecast accuracy by evening-out biases and including diverse information and models, each capturing different aspects of reality (Armstrong, 2001b; Graefe et al. (2010)).
