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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