Although artificial neural networks have recently gained importance in time series applications, some
methodological shortcomings still continue to exist. One of these shortcomings is the selection of the
final neural network model to be used to evaluate its performance in test set among many neural networks.
The general way to overcome this problem is to divide data sets into training, validation, and test
sets and also to select a neural network model that provides the smallest error value in the validation set.
However, it is likely that the selected neural network model would be overfitting the validation data. This
paper proposes a new model selection strategy (IHTS) for forecasting with neural networks. The proposed
selection strategy first determines the numbers of input and hidden units, and then, selects a
neural network model from various trials caused by different initial weights by considering validation
and training performances of each neural network model. It is observed that the proposed selection
strategy improves the performance of the neural networks statistically as compared with the classic
model selection method in the simulated and real data sets. Also, it exhibits some robustness against the
size of the validation data.