I have time-series data from 1985 Q1 until 2010 Q4. Then, the time series data have been split into training and test set. The split is as follows
- In-sample set from 1985 Q1 until 2004 Q4
- Out-sample set - (a) 2005 Q1 until 2005 Q4, and (b) 2005 Q1 until 2010 Q4
After that, the forecast for (a) the period of 2005 Q1 until 2005 Q4 and (b) the period of 2005 Q1 until 2010 Q4 have been produced using the ETS exponential smoothing method and the forecast accuracy is measured. Let say the forecast error measures for the test set are as in the table below, what we can say because MAE decreases but MAPE increases? Can we compare the error measures of MAE and MAPE of Forecast (a) and Forecast (b) even though the length of the forecast period are different? I am new to forecasting which makes me incompetent in this issue.