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.
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Find related papers by JEL classification: C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Evans, G B A & Savin, N E, 1984.
"Testing for Unit Roots: 2,"
Econometrica,
Econometric Society, vol. 52(5), pages 1241-69, September.
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Evans, G B A & Savin, N E, 1981.
"Testing for Unit Roots: 1,"
Econometrica,
Econometric Society, vol. 49(3), pages 753-79, May.
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