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Estimating turning points using polynomial regression

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  • Ram Mudambi

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.

Suggested Citation

  • Ram Mudambi, 1997. "Estimating turning points using polynomial regression," Journal of Applied Statistics, Taylor & Francis Journals, vol. 24(6), pages 723-732.
    • Handle: RePEc:taf:japsta:v:24:y:1997:i:6:p:723-732
    DOI: 10.1080/02664769723459
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    Cited by:

    1. Camillo Cammarota, 2017. "Estimating the turning point location in shifted exponential model of time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(7), pages 1269-1281, May.
    2. Leone Leonida & Dario Maimone Ansaldo Patti & Pietro Navarra, 2013. "Testing the Political Replacement Effect: A Panel Data Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(6), pages 785-805, December.
    3. David Bock & Eva Andersson & Marianne Frisén, 2005. "Statistical surveillance of cyclical processes with application to turns in business cycles," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(7), pages 465-490.
    4. Brochet, Francois & Limbach, Peter & Schmid, Markus M. & Scholz-Daneshgari, Meik, 2019. "CEO tenure and firm value," CFR Working Papers 16-11, University of Cologne, Centre for Financial Research (CFR), revised 2019.
    5. E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.
    6. Majid Abdi & Preet S. Aulakh, 2018. "Internationalization and performance: Degree, duration, and scale of operations," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 49(7), pages 832-857, September.

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