Balcilar, MehmetGupta, RanganJooste, Charl2016-08-182017Mehmet Balcilar, Rangan Gupta & Charl Jooste (2017) Long memory, economic policy uncertainty and forecasting US inflation: a Bayesian VARFIMA approach, Applied Economics, 49:11, 1047-1054, DOI: 10.1080/00036846.2016.1210777.0003-6846 (print)1466-4283 (online)10.1080/00036846.2016.1210777http://hdl.handle.net/2263/56394We 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.en© 2016 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Applied Economics, vol. 49, no. 11, pp. 1047-1054, 2017. doi : 10.1080/00036846.2016.1210777. Applied Economics is available online at : http://www.tandfonline.comloi/raec20.InflationLong-range dependencyVector fractionally integrated autoregressive moving average (VARFIMA)Economic policy uncertainty (EPU)Postprint Article