The thesis statement should remain flexible until the paper is actually finished. It ought to be one of the last things that we fuss with in the rewriting process. If we discover new information in the process of writing our paper that ought to be included in the thesis statement, then we'll have to rewrite our thesis statement. On the other hand, if we discover that our paper has done adequate work but the thesis statement appears to include things that we haven't actually addressed, then we need to limit that thesis statement. If the thesis statement is something that we needed prior approval for, changing it might require the permission of the instructor or thesis committee, but it is better to seek such permission than to write a paper that tries to do too much or that claims to do less than it actually accomplishes.
Inform yourself about your topic. After you've identified the key words in your topic, the next step is to read about them in several sources, or generate as much information as possible through an analysis of your topic. Obviously, the more material or knowledge you have, the more possibilities will be available for a strong argument. For the sample assignment above, you'll want to look at books and articles on World War II in general, and Spain's neutrality in particular.
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