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

49 Pages Posted: 10 Oct 2011

See all articles by J. Scott Armstrong

J. Scott Armstrong

University of Pennsylvania - Marketing Department

Date Written: October 9, 2011

Abstract

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.”

Keywords: forecasting, methods, review, time series

Suggested Citation

Armstrong, J. Scott, Commentary on the Makridakis Time Series Competition (M-Competition) (October 9, 2011). Available at SSRN: https://ssrn.com/abstract=1941253 or http://dx.doi.org/10.2139/ssrn.1941253

J. Scott Armstrong (Contact Author)

University of Pennsylvania - Marketing Department ( email )

700 Jon M. Huntsman Hall
3730 Walnut Street
Philadelphia, PA 19104-6340
United States
215-898-5087 (Phone)
215-898-2534 (Fax)

HOME PAGE: http://marketing.wharton.upenn.edu/people/faculty/armstrong.cfm

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