I have four years of monthly data, but I want to use three years to test the forecast of a model which uses only one year of historical data in a rolling way. For example:
- historical data from Jan-2016 to Dec-2016 will be used to forecast Jan-2017 to Dec-2017
- but then Feb-2016 to Jan-2017 data will be used to forecast Feb-2017 to Jan-2018.
Can I still use MASE to test the accuracy of this forecast?