A relationship between generalized and integrated mean square errors

Generalised Mean squared error is a flexible measure of the adequancy of ? repression estimator. It allows specific characteristics of the regression model and its intended use to be In-corportated in the measure itself. Similarly, integrated mean squared error enables a researcher to stipulate particular regions of interest and wi ighting functions in the assessment of a prediction equation. The appeal of both measures is their ability to allow design or model characteristics to directly influence the evaluation of fitted regression models. In this note an e-quivalence of the two measures is established for correctly specified models.