text: Title: [MNT] Migration to newer skforecast interface
  Body: _Originally posted by @JavierEscobarOrtiz in https://github.com/sktime/sktime/issues/6531#issuecomment-2499989752_
  
  > Hello @fkiraly @Abhay-Lejith @yarnabrina 
  > 
  > I’m Javier, one of the co-authors of skforecast. First of all, thank you so much for including our library as a wrapper in sktime. It’s amazing to see how our work helps other teams!
  > 
  > I wanted to let you know that in skforecast 0.14.0, we’ve implemented a major refactoring aimed at improving performance and usability. For instance, the class ForecasterAutoreg has been renamed to ForecasterRecursive:
  > 
  > ```python
  > # Before Skforecast 0.14
  > from skforecast.ForecasterAutoreg import ForecasterAutoreg
  > 
  > # From skforecast 0.14.0 onward 
  > from skforecast.recursive import ForecasterRecursive
  > ```
  > 
  > Same Forecaster but new name and new features.
  > 
  > If you need help with the integration, just ping us! 😄 We have also created a [migration guide](https://skforecast.org/0.14.0/user_guides/migration-guide) section for anyone who wants to update to the de version.
  > 
  > Best,
  > 
  > Javi, @JoaquinAmatRodrigo
              