I am willing to estimate a small open economy model, Monacelli (2005).
The model is in quarterly frequency so I need quarterly data. I noticed that the CPI index aggregation method in most databases is an average of the 3 monthly observations instead of the end of period level.
When calculating inflation for estimation purposes, should I use the end of period CPI value for each quarter in the lower frequency database? Or is it fine that I use the quarterly data presented in databases?