A note on in-sample and out-of-sample te
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Shiu-Sheng Chen
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Article
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2005
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John Wiley and Sons
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English
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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