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In the following passage:

Understanding what heuristics people use to make these essential metacognitive judgments is essential if we are to understand how people gain and maintain a sense of agency, and, in what that sense consists.

What does "in what" or "in what that sense" mean? Is it correct grammar to write "in what that sense consists"?

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It is a convoluted sentence, partly because it uses a relatively unfamiliar collocation consist in: see sense 3 here.

In a less formal context it would be written:

and what that sense consists in.

but many people feel that it is more formal not to end the relative clause with a preposition ("in") and instead put it before the relative pronoun.

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