# How to choose between different forecasting methods

If we have 2 ways of predicting a variable y: Regression:

y(t) = ax(t) + b + e;


and a time series AR model:

y(t) = c.y(t - 1) + d.y(t - 2) + e.


And both give similar results in out of sample testing, which method should we choose?

• You can include x(t) into the 2nd equation as well. – Nik Tuzov Nov 17 '16 at 20:47