Weigt, Till; Wilfling, Bernd - In: Journal of Forecasting 40 (2021) 4, pp. 686-699
We consider a situation in which the forecaster has available M individual forecasts of a univariate target variable. We propose a 3-step procedure designed to exploit the interrelationships among the M forecast-error series (estimated from a large time-varying parameter VAR model of the errors,...