diff --git a/sktime/forecasting/model_selection/_split.py b/sktime/forecasting/model_selection/_split.py
index fdff969a048..477e9267cea 100644
--- a/sktime/forecasting/model_selection/_split.py
+++ b/sktime/forecasting/model_selection/_split.py
@@ -1272,7 +1272,8 @@ def _split(self, y: pd.Index) -> SPLIT_GENERATOR_TYPE:
         train_end = _get_end(y_index=y, fh=fh)
 
         training_window = get_window(
-            pd.Series(index=y[y <= y[train_end]]), window_length=window_length
+            pd.Series(index=y[y <= y[train_end]], dtype=y.dtype),
+            window_length=window_length,
         ).index
         training_window = y.get_indexer(training_window)
         if array_is_int(fh):