  We evaluate the forecasting performance of a wide set of robust inflation
measures between 1960 and 2022, including official median and trimmed-mean
personal-consumption-expenditure inflation. When trimming out different
expenditure categories with the highest and lowest inflation rates, we find
that the optimal trim points vary widely across time and also depend on the
choice of target; optimal trims are higher when targeting future trend
inflation or for a 1970s-1980s subsample. Surprisingly, there are no grounds to
select a single series on the basis of forecasting performance. A wide range of
trims-including those of the official robust measures-have an average
prediction error that makes them statistically indistinguishable from the
best-performing trim. Despite indistinguishable average errors, these trims
imply different predictions for trend inflation in any given month, within a
range of 0.5 to 1 percentage points, suggesting the use of a set of
near-optimal trims.
