Estimating an inflation index by quantile regression

Eric Blankmeyer

Applied Economics Letters, 2012, vol. 19, issue 2, 185-187

Abstract: This article gives a methodology for estimating an inflation index using the quantile regression of Bassett and Koenker. The regression -- orthogonal in the logarithmic price changes -- is computed by linear programming for each percentile of inflation; and the results are bootstrapped to estimate standard errors. The procedure is applied to monthly data on seven metals.

Date: 2012
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DOI: 10.1080/13504851.2011.570706

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