I am in the process of creating one well-rounded forecast, and in my research I found a few mentionings approving the use of several forecasts combined into one. I really like this idea but I have some hesitations and questions before I apply it as a legitimate technique and I would really appreciate some insight!
1) I feel as if the combination approach loses validity when it is the same forecaster creating the different models to be combined...
2) Is it more valuable to use different types of models in the component forecasts (ie. multiple regression + ARIMAX + judgemental forecast + etc.) vs. different inputs to the same type of model (different covariates for each ARIMAX model, for example)?
3) Are there criteria or best practices that determines which accuracy measure to use across forecasts when you combine them?
Any insight is appreciated, so thank you in advance!