Autobox

This is a freeware version of Autobox 6.0 where you can test it out on 720 classic textbook time series. You can also use your data, but you are restricted to getting one period out forecast. You can see the model and the value. Autobox was the best performing automated software in the 2008 Neural Network Forecasting Competition! Instead of using a pick best approach Autobox automatically builds the model (univariate and multivariate) all while identifying and incorporating any interventions. It selects the best lead/lag structures for each input series and corrects for omitted variables (holidays or price changes that have affected the historical data, but that the system has no knowledge of) by identifying pulses, seasonal pulses, level shifts and local time trends, and then adding the needed structure through surrogate variables.