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!