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A regression surprise resolved

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Author Info

  • 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)

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.

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Bibliographic Info

Paper provided by Department of Business and Management Science, Norwegian School of Economics in its series Discussion Papers with number 2008/16.

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Length: 6 pages
Date of creation: 22 Sep 2008
Date of revision:
Handle: RePEc:hhs:nhhfms:2008_016

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Web page: http://www.nhh.no/en/research-faculty/department-of-business-and-management-science.aspx
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Keywords: Trend and seasonality; Prediction risk; Paradox;

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