Note---Sliding Simulation: A New Approach to Time Series Forecasting

Spyros Makridakis
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Spyros Makridakis: INSEAD, Boulevard de Constance, 77305 Fontainebleau, France

Management Science, 1990, vol. 36, issue 4, 505-512

Abstract: This paper proposes a new approach to time series forecasting based upon three premises. First, a model is selected not by how well it fits historical data but on its ability to accurately predict out-of-sample actual data. Second, a model/method is selected among several run in parallel using out-of-sample information. Third, models/methods are optimized for each forecasting horizon separately, making it possible to have different models/methods to predict each of the m horizons. This approach outperforms the best method of the M-Competition by a large margin when tested empirically with the 111 series subsample of the M-Competition data.

Keywords: forecasting; time series; accuracy measures; M-Competition; sliding simulation (search for similar items in EconPapers)
Date: 1990
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