Before revision:  Finally, we derive "efficient robust" forecasts to deal with the problem of first having to estimate the set of forecast distributions and develop a suitable asymptotic optimality theory .
After revision:  Finally, we derive "efficient robust" forecasts to deal with the problem of first having to estimate the set of forecast distributions and develop a suitable asymptotic efficiency theory. Forecasts obtained by replacing nuisance parameters that characterize the set of forecast distributions with efficient first-stage estimators can be strictly dominated by our efficient robust forecasts .