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M1, M2 and M3 Forecasting Competition Data
Most notably, the data from the
three Makridakis & Wheelwright competitions on (univariate) time series
prediction.
One focus of research on business forecasting has been empirical
validation. Over the past two decades, Spiros Makridakis and Michele
Hibon have led groups of researchers from all over the world in
conducting comparisons of various forecasting methods. Some of the
results of these studies have been surprising. For example, simple
methods seem to do at least as well as more complex methods. And,
combining forecasts helps, particularly for longer horizons. If your
favorite method was not included among those studied, you disagree that
the metrics used were right, or you simply don't like the conclusions of
the studies, you can conduct your own replication or extension. Data
from the M-Competitions has been used by hundreds of researchers.
- The M Competition data for comparing forecasting methods. 1001 series used in the 1982 M-competition; 29 series from the 1993 M2-competition; and 3003 series from the 1998 M3-competition.
- Detailed results from the M3 competition.