• Graduate Programs
  • Research
  • Browse our Courses
  • Events
    • Events Calendar
    • Events Archive
    • Summer School
      • Applied Public Policy Evaluation
      • Deep Learning
      • Development Economics
      • Economics of Blockchain and Digital Currencies
      • Economics of Climate Change
      • The Economics of Crime
      • Foundations of Machine Learning with Applications in Python
      • From Preference to Choice: The Economic Theory of Decision-Making
      • Inequalities in Health and Healthcare
      • Marketing Research with Purpose
      • Markets with Frictions
      • Modern Toolbox for Spatial and Functional Data
      • Sustainable Finance
      • Tuition Fees and Payment
      • Business Data Science Summer School Program
    • Tinbergen Institute Lectures
    • 2026 Tinbergen Institute Opening Conference
    • Annual Tinbergen Institute Conference
  • News
  • Summer School
    • Applied Public Policy Evaluation
    • Deep Learning
    • Development Economics
    • Economics of Blockchain and Digital Currencies
    • Economics of Climate Change
    • The Economics of Crime
    • Foundations of Machine Learning with Applications in Python
    • From Preference to Choice: The Economic Theory of Decision-Making
    • Inequalities in Health and Healthcare
    • Marketing Research with Purpose
    • Markets with Frictions
    • Modern Toolbox for Spatial and Functional Data
    • Sustainable Finance
    • Tuition Fees and Payment
  • Alumni

Franses, P.H. (2016). A note on the Mean Absolute Scaled Error International Journal of Forecasting, 32(1):20--22.

  • Journal
    International Journal of Forecasting
View publication

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.