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A note on causality and the structure-performance controversy

✍ Scribed by Raymond L. Raab; Shee Q. Wong


Publisher
Springer US
Year
1988
Tongue
English
Weight
451 KB
Volume
3
Category
Article
ISSN
0889-938X

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A note on in-sample and out-of-sample te
✍ Shiu-Sheng Chen πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 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