Is more data better?
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.
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- Honkapohja, Seppo & Mitra, Kaushik, 2003.
"Learning with bounded memory in stochastic models,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 27(8), pages 1437-1457, June.
- Honkapohja, S. & Mitra, K., 1999. "Learning with Bounded Memory in Stochastic Models," University of Helsinki, Department of Economics 456, Department of Economics.
- Kaushik Mitra & Seppo Honkapohja, 1999. "Learning with Bounded Memory in Stochastic Models," Computing in Economics and Finance 1999 221, Society for Computational Economics.
- Seppo Honkapohja & Kaushik Mitra, . "Learning with Bounded Memory in Stochastic Models," Discussion Papers 00/42, Department of Economics, University of York.
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- repec:cup:macdyn:v:2:y:1998:i:3:p:287-321 is not listed on IDEAS
- Evans, George W. & Honkapohja, Seppo, 1999. "Learning dynamics," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 7, pages 449-542 Elsevier.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
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