Percentiles of an Inflation Index by Quantile Regression
Date
2006-06
Authors
Blankmeyer, Eric
Journal Title
Journal ISSN
Volume Title
Publisher
Texas State University-San Marcos
Abstract
This paper gives a methodology for estimating an inflation index using the quantile regression of Bassett and Koenker. The regression, which is orthogonal in the logarithmic price changes, is computed by linear programming for each percentile of inflation. The procedure is applied to monthly data on 25 raw materials.
Description
Keywords
inflation, price index, quantile regression
Citation
Blankmeyer, E. (2006). Percentiles of an inflation index by quantile regression. Texas State University-San Marcos, Texas.