This paper discussed the possibility and key problem of constructing the neural network time series model, and three time series neural network forecasting methods has been proposed. That is, the neural network nonlinear time series model, the neural network multi-dimension time model and the neural network com bining predictive model. These three methods are applied 10 real prcblems. The results show that these methods are better than the traditional ones. Furthermore, the comparison of the neural network with the traditional methods and the constructed model of intellectual information forecasting system are given.