I have a monthly series and I want to make it quarterly. I want to know which method I use. I used an arithmetic average but I do not trust these results. There is a procedure in Stata and Eviews I can use. Thanks in advance.
Quarterly price indices are going to vary less than monthly. In fact for price indices the default assumption is a square root rule for the variance of price returns, i.e. $\sigma_q^2=3\sigma_m^2$ for quarterly and monthly. It's almost never exactly square root, but the variance is certainly an decreasing function of the sampling frequency.
There are many ways to down sample price indices, but the most popular ones are: the simple average and the last price. I have seen people using max(), e.g. for VIX index. How you down sample depends on what is your objective really.