Author： Blankmeyer Eric
Publisher： Routledge Ltd
ISSN： 1466-4291
Source： Applied Economics Letters, Vol.19, Iss.2, 2012-02, pp. : 185-187
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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.
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