A note on the Mean Absolute Scaled Error

Philip Hans Franses

doi:10.1016/j.ijforecast.2015.03.008

A note on the Mean Absolute Scaled Error

Philip Hans Franses

Business Economics

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Abstract

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.

Original language	English
Pages (from-to)	20-22
Number of pages	4
Journal	International Journal of Forecasting
Volume	32
Issue number	1
DOIs	https://doi.org/10.1016/j.ijforecast.2015.03.008
Publication status	Published - 2016

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A note on the Mean Absolute Scaled Error

Abstract

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