Long memory, economic policy uncertainty and forecasting US inflation: a Bayesian VARFIMA approach

Mehmet Balcılar · Rangan Gupta · Charl Jooste

37 citations0/0 files storedApplied Economics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Market Dynamics and Volatility

Abstract

We compare inflation forecasts of a vector autoregressive fractionally integrated moving average (VARFIMA) model against standard forecasting models. U.S. inflation forecasts improve when controlling for persistence and economic policy uncertainty (EPU). Importantly, the VARFIMA model, comprising of inflation and EPU, outperforms commonly used inflation forecast models.

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2009The Impact of Uncertainty Shocks 1994Comparing Predictive Accuracy 1995Comparing Predictive Accuracy 2007The Impact of Uncertainty Shocks 1997Testing the equality of prediction mean squared errors 2000The M3-Competition: results, conclusions and implications 2006Journal of Applied Econometrics 2013Measuring Economic Policy Uncertainty

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