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Estimating turning points using polynomial regression

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Author Info
Ram Mudambi

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Abstract

SUMMARY This paper describes a method for estimating regime switches in non-monotonic relationships, using polynomial regressions. Data from the UK financial services industry are used to illustrate the technique. The methodology provides a means of statistically ascertaining the existence of turning points, as well as a means of locating them, should they exist. While the methodology is most suited to applications that involve cross-sectional data, it may also be useful in short-horizon time series turning point prediction.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Journal of Applied Statistics.

Volume (Year): 24 (1997)
Issue (Month): 6 (December)
Pages: 723-732
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Handle: RePEc:taf:japsta:v:24:y:1997:i:6:p:723-732

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  1. E. Andersson & D. Bock & M. Frisén, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor and Francis Journals, vol. 33(3), pages 257-278, April. [Downloadable!] (restricted)
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This page was last updated on 2009-12-5.

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