Ashley, Richard A.; Tsang, Kwok Ping - Department of Economics, Virginia Polytechnic Institute … - 2013
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. But post-sample model testing requires an often-consequential a priori partitioning of the data into an 'in-sample' period...