Estimating turning points using polynomial regression

Ram Mudambi

Journal of Applied Statistics, 1997, vol. 24, issue 6, 723-732

Abstract: 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.

Date: 1997
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DOI: 10.1080/02664769723459

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