2015-10-13
A note on the Mean Absolute Scaled Error
Publication
Publication
International Journal of Forecasting , Volume 32 p. 20- 22
Hyndman and Koehler (2006) recommend that the Mean Absolute Scaled Error (MASE) should become the standard when comparing forecast accuracies. This note supports their claim by showing that the MASE fits nicely within the standard statistical procedures initiated by Diebold and Mariano (1995) for testing equal forecast accuracies. Various other criteria do not fit, as they do not imply the relevant moment properties, and this is illustrated in some simulation experiments.
| Additional Metadata | |
|---|---|
| , , | |
| doi.org/10.1016/j.ijforecast.2015.03.008, hdl.handle.net/1765/78815 | |
| Econometric Institute Reprint Series , ERIM Top-Core Articles | |
| International Journal of Forecasting | |
| Organisation | Erasmus School of Economics |
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Franses, P. H. (2015). A note on the Mean Absolute Scaled Error. International Journal of Forecasting, 32, 20–22. doi:10.1016/j.ijforecast.2015.03.008 |
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