Long memory, economic policy uncertainty and forecasting US inflation: a Bayesian VARFIMA approach
Year: 2016
Type: article
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.
Source: Applied Economics
Authors: Mehmet Balcilar, Rangan Gupta, Charl Jooste
Institutions: Eastern Mediterranean University, University of Pretoria
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2493966461