Is more data better?

Kaushik Mitra ()

No 04/19, Royal Holloway, University of London: Discussion Papers in Economics from Department of Economics, Royal Holloway University of London

Abstract: Conventional 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 make better predictions by discarding old data if their model is mis-specified. The applicability of the results to some economic models is also demonstrated.

Keywords: optimal; mean squared error; bounded memory. (search for similar items in EconPapers)
JEL-codes: C13 C22 C53 D83 E32 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-mac and nep-mic
Date: 2004-07, Revised 2004-07
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Related works:
Working Paper: Is more data better?
Working Paper: Is More Data Better? (1999)
Journal Article: Is more data better? (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:hol:holodi:0419

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