Central bank research hub - Papers by Guhan Venkatu
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Research hub papers by author Guhan VenkatuenTrimmed-Mean Inflation Statistics: Just Hit the One in the Middle
http://www.frbatlanta.org/documents/pubs/wp/wp1403.pdf
Atlanta Fed Working papers by Brent Meyer and Guhan VenkatuTrimmed-Mean Inflation Statistics: Just Hit the One in the Middle2014-03-06T06:19:00ZThis paper reinvestigates the performance of trimmed-mean inflation measures some 20 years since their inception, asking whether there is a particular trimmed-mean measure that dominates the median consumer price index (CPI). Unlike previous research, we evaluate the performance of symmetric and asymmetric trimmed means using a well known equality of prediction test. We find that there is a large swath of trimmed means that have statistically indistinguishable performance. Also, although the swath of statistically similar trims changes slightly over different sample periods, it always includes the median CPI-an extreme trim that holds conceptual and computational advantages. We conclude with a simple forecasting exercise that highlights the advantage of the median CPI (and trimmed-mean estimators in general) relative to other standard measures in forecasting headline inflation.Trimmed-Mean Inflation Statistics: Just Hit the One in the MiddleAbstracthttp://www.frbatlanta.org//pubs/wp/14_03.cfmFull texthttp://www.frbatlanta.org/documents/pubs/wp/wp1403.pdfBrent MeyerGuhan VenkatuBrent Meyer and Guhan Venkatu2014-03-05Federal Reserve Bank of Atlanta Working PapersE31E37Trimmed-Mean Inflation Statistics: Just Hit the One in the Middle
http://www.clevelandfed.org/research/workpaper/2012/wp1217.pdf
Cleveland Fed Working papers by Brent Meyer and Guhan VenkatuTrimmed-Mean Inflation Statistics: Just Hit the One in the Middle2012-11-30T17:40:59ZThis paper reinvestigates the performance of trimmed-mean inflation measures some 20 years since their inception, asking whether there is a particular trimmed-mean measure that dominates the median CPI. Unlike previous research, we evaluate the performance of symmetric and asymmetric trimmed-means using a well-known equality of prediction test. We find that there is a large swath of trimmed-means that have statistically indistinguishable performance. Also, while the swath of statistically similar trims changes slightly over different sample periods, it always includes the median CPI--an extreme trim that holds conceptual and computational advantages. We conclude with a simple forecasting exercise that highlights the advantage of the median CPI relative to other standard inflation measures.Trimmed-Mean Inflation Statistics: Just Hit the One in the MiddleFull texthttp://www.clevelandfed.org/research/workpaper/2012/wp1217.pdfBrent MeyerGuhan VenkatuBrent Meyer and Guhan Venkatu2012-11Federal Reserve Bank of Cleveland Working Papers