Combine Forecasts in One Series

[ivanpanin]

Hello,

I have one dependent variable (gdp) and 10 different predictors (construction, production, manufactoring, Money Stock 1, House prices etc). I would like to forecast the dependent variable.
I run 10 regressions: gdp c gdp(-1) predictor predictor(-1 to -4). Note that I choose the number of lags based on minimized AIC.

After I have obtained all the forecasts I do not know how to combine them in one series?
If I put all the predictors in 1 regression I do not have enough observations to run it.

Can you help me out here, please? :)

[EViews Glenn]

https://www.youtube.com/watch?v=vMYY61EUAc0

[edit: as a side note, I'm not sure that I'd recommend constructing the individual forecasts in this fashion.]