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

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 dataand 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.” The Ground Rules In seeking peer review of the Makridakis competition, we drew heavily upon the procedures used by Behavioral and Brain Sciences, a journal that has been one of the pioneers for open peer review (Harnad, 1979). One objective was to provide a forum for discussion by experts who were likely to have different