Rob Hyndman’s Time Series Data Librarycontains over 800 time series organized by subject as well as pointers to other sources of time series available on the Internet. The data is freely available for anyone to use and the data can be used by any researcher without further permission by the IIF.
One focus of research on business forecasting has been empirical validation. Over the past two decades, Spyros Makridakis and Michele Hibon have led groups of researchers from all over the world in conducting comparisons of various forecasting methods. Data from the M-Competitions has been used by hundreds of researchers.
M4 Competition – Update
There are now more than 50 registered users 7 submissions for the 1st set of Forecasts (High Profile Fortune 500 Companies (Live) Dataset). The deadlines for all the submissions have been extended. For more information, click here (PDF).