Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach

Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often-consequential a priori partitioning of the data into an “in-sample” perio...

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Bibliographic Details

Published in:	Econometrics
Main Authors:	Richard A. Ashley, Kwok Ping Tsang
Format:	Article
Language:	English
Published:	MDPI AG 2014-03-01
Subjects:	time series Granger-causality causality post-sample testing exchange rates
Online Access:	http://www.mdpi.com/2225-1146/2/1/72