Other Time Series Data

M competition

• The M Competition data for comparing forecasting methods. 1001 series used in the 1982 M-competition; 29 series from the 1993 M2-competition; and 3003 series from the 1998 M3-competition.
• Detailed results from the M3 competition.

Collections from books

• B Abraham and J Ledolter (1983)
• OD Anderson (1976)
• TW Anderson (1971)
• Andrews and Herzberg (1985)
• Box and Jenkins (1976)
• Chatfield (2003)
• Diggle (1990)
• Hipel and McLeod (1994)
• Jenkins and Watt (1968)
• Kendall and Ord (1990)
• Liu-Hanssens
• Makridakis and Wheelwright (1989)
• McCleary and Hay (1980)
• Montgomery and Johnson (1976)
• Nelson (1973)
• O'Donovan (1983)
• A Pankratz (1983)
• A Pankratz (1991)
• Shumway
• Subba Rao and Gabr (1984)
• Tong (1991)
• Tsay (2002)
• Wei (2006)

Other academic collections

• Time web: time series data bank from the UK.
• Time Series Data Mining Archive maintained by Eamonn Keogh at UCR.
• Collection from the University of York
• Some time series data sets from Mike West.
• Statistical Resources on the Web (Uni of Maryland). A well-organized collection of links to data sources. Not just time series.
• Data on the net (Uni of California, San Diego). A searchable collection of links to data sources. Not just time series.

Government data collections

• Australian Bureau of Statistics time series service.
• US Census Bureau

Economic and finance data

• EconData: links to regional economic data and a good guide to all the other economic data sites on the web.
• Economagic: Browsable library of time series data, including many major US time series, as well as time series from Japan, Canada, and Europe.
• Macroeconomic Time Series Data: Collection of annual macroeconomic time series data for the US, Canada, Japan, and many European countries.
• Business, finance and economic data from the Financial Forecast Center.
• US Treasury Bill, Note, Bond, and TIPS Auction History from the US Bureau of the Public Debt.
• Mortgage Indexes: Historical data (US).
• Global Financial Data: extensive, long-term historical indices on stock markets, interest rates, exchange rates and inflation rates for over 50 countries back to the 1690s.
• Survey of Professional Forecasters: Median forecasts of 24 economic variables since 1968. Provided by the Federal Reserve Bank of Philadelphia. Formerly the ASA/NBER Economic Outlook Survey.

Climate data

• Trends: a compendium of data on global environmental change
• JISAO climate data archive: Climate data from the Joint Institute for the Study of the Atmosphere and the Oceans