A Regression Surprise Resolved

7 Pages Posted: 23 Sep 2008

See all articles by Jostein Lillestol

Jostein Lillestol

Norwegian School of Economics (NHH) - Department of Business and Management Science

Jonas Andersson

Norwegian School of Economics (NHH) - Department of Business and Management Science

Date Written: September 22, 2008

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

Suggested Citation

Lillestol, Jostein and Andersson, Jonas, A Regression Surprise Resolved (September 22, 2008). NHH Dept. of Finance & Management Science Discussion Paper No. 2008/16, Available at SSRN: https://ssrn.com/abstract=1271942 or http://dx.doi.org/10.2139/ssrn.1271942

Jostein Lillestol (Contact Author)

Norwegian School of Economics (NHH) - Department of Business and Management Science ( email )

Helleveien 30
Bergen, NO-5045
Norway

Jonas Andersson

Norwegian School of Economics (NHH) - Department of Business and Management Science ( email )

Helleveien 30
Bergen, NO-5045
Norway

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