Say I have a large set of data. Each data point corresponds to a particular day in the year, so for 1 year I will have 365 points. Say I have collected this sort of data for 5 years.
Now, I want to use this data to predict future values for any particular day. Because I want to have a good model equation, I perform a regression on 1 years worth of data, 2 years worth of data, ..., 5 years worth of data. So essentially I have 5 different equations that I am considering using for forecasting other data points.
Would the assumption that, the equation that takes 5 years worth of data is the most accurate in forecasting data be valid or invalid? My intuition tells me that if you are forecasting data, it doesn't necessarily mean that more data points implies better fit.
I would like some insight into this, and know this is the best place to ask such a question. Thanks!