Using turning point information to study economic dynamics
Don Harding · RePEc: Research Papers in Economics · 2003
In this paper I use the proportion of turning points located in the sample path to of time series data to describe that data. I show that the proportion of turning points can be directly related to the data generating process and therefore provides a methodology for es-timation and testing of models. This methodology has two main ad-vantages. First, it has direct links back to the visual intuition that practitioners obtain from the inspection of graphs. Second, it turns out to be very robust as the methodology developed here does not require that any of the moments of the series Yt exist.