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Commentary on the Makridakis Time Series Competition (M- Competition)

  • J. S. Armstrong

    (The Wharton School)

In 1982, the Journal of Forecasting published the results of a forecasting competition organized by Spyros Makridakis (Makridakis et al., 1982). In this, the ex ante forecast errors of 21 methods were compared for forecasts of a variety of economic time series, generally using 1001 time series. Only extrapolative methods were used, as no data were available on causal variables. The accuracies of methods were compared using a variety of accuracy measures for different types of data and for varying forecast horizons. The original paper did not contain much interpretation or discussion. Partly this was by design, to be unbiased in the presentation. A more important factor, however, was the difficulty in gaining consensus on interpretation and presentation among the diverse group of authors, many of whom have a vested interest in certain methods. In the belief that this study was of major importance, we decided to obtain a more complete discussion of the results. We do not believe that the data speak for themselves.

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Paper provided by EconWPA in its series General Economics and Teaching with number 0502026.

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Date of creation: 04 Feb 2005
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Handle: RePEc:wpa:wuwpgt:0502026
Note: Type of Document - pdf
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