๐”– Bobbio Scriptorium
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In-sample and out-of-sample properties of linear and nonlinear Taylor rules

โœ Scribed by Ting Qin; Walter Enders


Book ID
113722335
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
187 KB
Volume
30
Category
Article
ISSN
0164-0704

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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