SAS Forecast Studio: How should I read Holdout MAPE?

JulianLB — Fri, 11 Mar 2016 21:23:43 GMT

Holdout MAPE is smaller than MAPE. How should I interpret that?

How holdout MAPE is calculated?

Re: SAS Forecast Studio: How should I read Holdout MAPE?

udo_sas — Fri, 11 Mar 2016 22:15:10 GMT

Hello -

This discussion: https://communities.sas.com/t5/Forecasting-and-Econometrics/out-of-sample-range-and-holdout-sample/m-p/225886#M1387 might be of interest.

To answer your questions: the MAPE calculations only differ in the data which is considered. If your hold out MAPE is smaller than your fit MAPE this can indicate that your model seems to perform better on data which was not used for parameter estimation, which is a good thing typically. But you may want to verify this behaviour by adding out of sample data.

Thanks,

Udo

PS: http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_tffordet_sect048.htm

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SAS Forecast Studio: How should I read Holdout MAPE?

Re: SAS Forecast Studio: How should I read Holdout MAPE?