There is a dilemma between choosing short history (1-2 years) and long history (5-10 years) for a regression model. Are there any resources that offer some findings on pros and cons of these two? From the perspective of a long term asset/fund manager, which one would make more sense?
Clearly, the short model would depict the most recent relationship. However, the long model would capture stress periods, which can also be very useful.
The main purpose of the model is to identify beta/risk of a dependent variable against both single factor as well as multi factors.
Thanks in advance!