Chapter 4 Forecast Combinations Forecast combinations have frequently been found in empirical studies to produce better forecasts on average than methods based on the ex ante best individual forecasting model. Moreover simple combinations that ignore correlations between forecast errors often dominate more refined combination schemes aimed at estimating the theoretically optimal combination weights. In this chapter we analyze theoretically the factors that determine the advantages from combining forecasts (for example the degree of correlation between forecast errors and the relative size of the individual models forecast error variances). Although the reasons for the success of simple combination schemes are poorly understood we discuss several possibilities related to model misspecification instability (non stationarities) and estimation error in situations where the number of models is large relative to the available sample size. We discuss the role of combinations under asymmetric loss and consider combinations of point interval and probability forecasts.