01-25-2016 08:07 AM
Using out-of-sample data is probably the best way to assess a forecasting model. See: https://communities.sas.com/t5/Forecasting-and-Econometrics/out-of-sample-range-and-holdout-sample/m... for more details.
When it comes to measuring the forecast error, it depends on which goal you have in mind. Mean absolute percentage error (MAPE) is a commonly used measurement, but mainly because it is easy to explain.
You may want to check out: http://www.robjhyndman.com/papers/forecast-accuracy.pdf as a start.