Is more data better?

Kaushik Mitra ()

Discussion Papers from Department of Economics, University of York

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

Keywords: mean squared error; prediction; optimality. (search for similar items in EconPapers)
JEL-codes: C13 C22 C53 D83 E32 E37 (search for similar items in EconPapers)
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http://www.york.ac.uk/depts/econ/documents/dp/0044.pdf (application/pdf)

Related works:
Working Paper: Is more data better? (2004)
Working Paper: Is More Data Better? (1999)
Journal Article: Is more data better? (2005)
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