Is More Data Better?.

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.

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Year of publication:	1999
Authors:	Mitra, K.
Institutions:	Politiikan ja Talouden Tutkimuksen Laitos, Valtiotieteellinen tiedekunta
Subject:	TESTING \| SIMULATION \| PROJECTIONS \| INFORMATION \| PRICES

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Series:	University of Helsinki, Department of Economics.
Type of publication:	Book / Working Paper
Notes:	21 pages
Classification:	C13 - Estimation ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; D83 - Search, Learning, Information and Knowledge ; E32 - Business Fluctuations; Cycles ; E37 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005660921