Lillestøl, Jostein () (Dept. of Finance and Management Science, Norwegian School of Economics and Business Administration) Andersson, Jonas () (Dept. of Finance and Management Science, Norwegian School of Economics and Business Administration)
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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.
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Paper provided by Department of Finance and Management Science, Norwegian School of Economics and Business Administration in its series Discussion Papers with number
2008/16.
Length: 6 pages Date of creation: 22 Sep 2008 Date of revision: Handle: RePEc:hhs:nhhfms:2008_016
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