Before revision:  This premise is evidenced in many empirical results. For example, the European Central Bank's Survey of Professional Forecasters on Euro-area real GDP growth demonstrates that the professional forecasters tend to jointly understate or overstate GDP growth. Motivated by this stylized fact, we develop a novel framework which exploits the factor structure of forecast errors and the sparsity in the precision matrix of the idiosyncratic components of the forecast errors.
After revision:  We propose a new approach, Factor Graphical Model (FGM), to forecast combinations that separates idiosyncratic forecast errors from the common errors. FGM exploits the factor structure of forecast errors and the sparsity in the precision matrix of the idiosyncratic components of the forecast errors.