The Role of Economic Policy Uncertainty in Forecasting US Inflation Using a VARFIMA Model
Rangan Gupta and
No 201460, Working Papers from University of Pretoria, Department of Economics
We compare inflation forecasts of a vector fractionally integrated autoregressive 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.
Keywords: Inflation; long-range dependency; economic policy uncertainty (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
Pages: 7 pages
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
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Working Paper: The Role of Economic Policy Uncertainty in Forecasting US Inflation Using a VARFIMA Model (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201460
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