Dear Andreas:
I use modification of your code for my paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4419282 (unpublished). What (pseudo-) metrics do you use to fit the polynomials -- MSE, Kullback-Leibler, something different? If you can answer, write me at pblerner18@gmail.com because I rarely use this place.
