Approach to time series problem (xgboost)

@Fedias wrote:

Hi,
I have a time series problem (price ~ time (by month)).
I have tried a simple HoltWinters and an xgboost model (month and observations id as variables).

Then I had the idea to try to add also the last five observations as seperate variables (so for each Xn which is the target variable I use the Xn-1...Xn-5 as idependent variables). Then I modelled this with xgboost again.

The last approach gives me quite better results and now I am wondering if this a valid approach to this kind of problems or there are some hidden dangers that I should be aware off.

Thanks for any comment!

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