The Impact of Empirical Accuracy Studies on Time Series Analysis and Forecasting", INSEAD Working Paper. Fortune Articles (various issues

Social scientists envy the objectivity, controlled experimentation and replicability of hard sciences, a lack of which, they daim, hampers their ability to advance their disciplines and make them more useful and relevant to real life applications. This paper examines a specific area of social science, time series forecasting, which, through empirical studies using real-life data, allows for objectivity and replicability and offers the possibility of controlled experimentation. Yet its findings are ignored and its conclusions to advance the field of forecasting are disputed. The paper describes what has been learnt from forecasting competitions and compares the results with expectations based on statistical theory. It demonstrates that considerable anomalies exist which have been neglected by academic statisticians who have focussed their attention on topics/directions of little practical value, and no relevance for real-life applications The paper concludes with a challenge to theoretical statisticians and empirical researchers alike: working together they can learn from each other and advance their field to better serve the business and economic communities and make their area more useful and relevant to policy and decision makers eager to use more accurat