Abstract
Time series data for robust inflation measures, such as median and trimmed
mean inflation, only start in 1977. We extend these series back to 1960 for
Personal Consumption Expenditure (PCE) inflation, providing additional episodes
of high and rising inflation. We evaluate the robustness of the series along
multiple dimensions: First, we find that robust inflation measures tend to
diverge in periods of low inflation, but agree when headline inflation is high.
The range between the robust measures averages 0.76 percentage points. Second,
using yearly instead of monthly inflation when trimming or computing median
inflation produces markedly different time series. Third, by contrast,
variation in the number of PCE categories used in calculation and trim points
for trimmed means do not have significant effects. Finally, we compare the
performance of 61 robust inflation measures in predicting (current and future)
trend inflation. Trimmed mean measures that trim based on yearly inflation
perform best overall, while core inflation performs well when inflation is low,
and median inflation consistently underperforms.