Long memory, economic policy uncertainty and forecasting US inflation: a Bayesian VARFIMA approach
Rangan Gupta and
Applied Economics, 2017, vol. 49, issue 11, 1047-1054
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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