System-based combination weights for series r/step-length h incorporat
e relative accuracy information from other forecast step-lengths for r
and from other series for step-length h. Such weights are examined ut
ilizing the West and Fullerton (1996) data set-4275 ex ante employment
forecasts from structural simultaneous equation econometric models fo
r 19 metropolitan areas at 10 quarterly step-lengths and a parallel se
t of 4275 ARIMA forecasts. The system-based weights yielded combined f
orecasts of higher average accuracy and lower risk of large inaccuracy
than seven alternative strategies: (1) averaging; (2) relative MSE we
ights; (3) outperformance (per cent best) weights; (4) Bates and Grang
er (1969) optimal weights with a convexity constraint imposed; (5) unc
onstrained optimal weights; (6) select a 'best' method (ex ante) by se
ries and; (7) experiment in the Bischoff (1989) sense and select eithe
r method (2) or (6) based on the outcome of e experiment. Accuracy gai
ns of the system-based combination were concentrated at step-lengths t
wo to five. Although alternative (5) was generally outperformed, none
of the six other alternatives was systematically most accurate when ev
aluated relative to each other This contrasts with Bischoff's (1989) r
esults that held promise for an empirically applicable guideline to de
termine whether or not to combine.