The 1001 time series from the M-competition (Makridakis et al. 1982), and the 3003 time series and forecasts from the IJF-M3 competition (Makridakis and Hibon, 2000).
References
Makridakis, S., A. Andersen, R. Carbone, R. Fildes, M. Hibon, R. Lewandowski, J. Newton, E. Parzen, and R. Winkler (1982) The accuracy of extrapolation (time series) methods: results of a forecasting competition. Journal of Forecasting, 1, 111--153.
Makridakis and Hibon (2000) The M3-competition: results, conclusions and implications. International Journal of Forecasting, 16, 451-476.
Author
Rob J Hyndman. Rob.Hyndman@monash.edu, with assistance from Muhammad Akram and Christoph Bergmeir.