Is More Data Better?

University of Helsinki, Department of Economics from Department of Economics

Abstract: Convention wisdom usually suggests that agents should use all the data they have to make the best possible prediction. In this paper it is shown that agents may sometimes be able to make better predictions by throwing away data. The optimality criterion agents adopt is the mean squared criterion.

Keywords: TESTING; SIMULATION; PROJECTIONS; INFORMATION; PRICES (search for similar items in EconPapers)
JEL-codes: C13 C22 C53 D83 E32 E37 (search for similar items in EconPapers)
Date: 1999

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Related works:
Working Paper: Is more data better? (2004)
Working Paper: Is more data better?
Journal Article: Is more data better? (2005)
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