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A regression surprise resolved

Author

Listed:
  • 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.

Suggested Citation

  • Lillestøl, Jostein & Andersson, Jonas, 2008. "A regression surprise resolved," Discussion Papers 2008/16, Norwegian School of Economics, Department of Business and Management Science.
    • Handle: RePEc:hhs:nhhfms:2008_016
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    File URL: http://hdl.handle.net/11250/164130
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    More about this item

    Keywords

    Trend and seasonality; Prediction risk; Paradox;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions

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