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Department of Business and Management Science, Norwegian School of Economics (NHH) Discussion Papers, Department of Business and Management Science, Norwegian School of Economics (NHH)

No 2008/16:
A regression surprise resolved

Jostein Lillestøl () and Jonas Andersson ()

Abstract: In this note we explore the following surprising fact: In regression with trend and seasonality, the prediction risk is constant for all seasons of a new cycle, despite the fact that it increases with time when the seasons are left out. Awareness of this may be useful to both the practicing statistician and to teachers of statistics. The challenge of resolving the issue may also be given to students of statistics as a research project.

Keywords: Trend and seasonality; Prediction risk; Paradox; (follow links to similar papers)

JEL-Codes: C25; C35; (follow links to similar papers)

6 pages, September 22, 2008

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