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We examine the effectiveness of this strategy for forecast densities using (many) vector autoregressive (VAR) and autoregressive (AR) models of output growth, inflation and interest rates. Our proposed recursive\u2010weight density combination strategy, based on the recursive logarithmic score of the forecast densities, produces well\u2010calibrated predictive densities for US real\u2010time data by giving substantial weight to models that allow for structural breaks. In contrast, equal\u2010weight combinations produce poorly calibrated forecast densities for Great Moderation data. Copyright \u00a9 2010 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1162","type":"journal-article","created":{"date-parts":[[2010,2,24]],"date-time":"2010-02-24T05:08:34Z","timestamp":1266988114000},"page":"621-634","source":"Crossref","is-referenced-by-count":137,"title":["Combining forecast densities from VARs with uncertain instabilities"],"prefix":"10.1002","volume":"25","author":[{"given":"Anne Sofie","family":"Jore","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"James","family":"Mitchell","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Shaun P.","family":"Vahey","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2010,5,4]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000332"},{"key":"e_1_2_7_3_1","doi-asserted-by":"crossref","unstructured":"AnderssonM KarlssonS.2007.Bayesian forecast combination for VAR models. 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