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Weather is a major driving factor of electricity demand. The selection of weather station(s) plays a vital role in electric load forecasting. Nevertheless, minimal research efforts have been devoted to weather station selection. In the smart grid era, hierarchical load forecasting, which provides load forecasts throughout the utility system hierarchy, is emerging as an important topic. Since there are many nodes to forecast in the hierarchy, it is no longer feasible for forecasting analysts to figure out the best weather stations for each node manually. A commonly used solution framework involves assigning the same number of weather stations to all nodes at the same level of the hierarchy. This framework was also adopted by all four of the winning teams of the Global Energy Forecasting Competition 2012 (GEFCom2012) in the hierarchical load forecasting track. In this paper, we propose a weather station selection framework …