๐”– Bobbio Scriptorium
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In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

โœ Scribed by Inoue, Atsushi; Kilian, Lutz


Book ID
120450443
Publisher
Taylor and Francis Group
Year
2005
Tongue
English
Weight
322 KB
Volume
23
Category
Article
ISSN
0747-4938

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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