Corrected entry: The Narrator of this episode, in describing The Simpsons, says "THIS NORTHERN KENTUCKY FAMILY." This is the only time that they have ever TOLD viewers where they live. It is at the very end of the episode while they are sitting on the hillside.
Correction: It's been dismissed as a fake. They don't actually live in Northern Kentucky (they could, but we have no concrete evidence). To add to the mystery, the subtitles say Southern Missourian family.
Corrected entry: It is revealed in this episode that the Simpsons live in the state of Kentucky.
Correction: However, it is NOT possible for the Simpsons to live in Kentucky. The Simpsons' beach is an OCEAN BEACH. It not only has whales and dolphins in it, it also (in several episodes) is used as a transportation/trade route. Remember the shipment of Hot Pants in the "soul mate" episode? Remember the time Willy was deported because of the illegal immigrant laws? The fact that there's a rocky shoreline and a lighthouse (even one operated by E.A.R.L) shows oceanfront. There (for the geographically impaired) is NO OCEAN in Kentucky. In addition, there's no Evergreen Terrace (nor Evergreen St., Ct., Ave., Blvd., etc) in Springfield KY.
Springfield contiguously changes, that's part of the running gag. Sometimes it's landlocked.
Correction: This is actually talking to the Simpson family as ACTORS, not as the characters they play. The family in "real" life may be from Northern Kentucky, but the characters they portray could be from anywhere.