๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

A FURTHER NOTE ON THE DETECTION OF GRANGER INSTANTANEOUS CAUSALITY

โœ Scribed by Allan P. Layton


Book ID
111039447
Publisher
John Wiley and Sons
Year
1984
Tongue
English
Weight
181 KB
Volume
5
Category
Article
ISSN
0143-9782

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๐Ÿ“œ SIMILAR VOLUMES


A note on in-sample and out-of-sample te
โœ Shiu-Sheng Chen ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 90 KB

This paper studies in-sample and out-of-sample tests for Granger causality using Monte Carlo simulation. The results show that the out-of-sample tests may be more powerful than the in-sample tests when discrete structural breaks appear in time series data. Further, an empirical example investigating