We examine recursive out-of-sample forecasting of monthly postwarU.S. core inflation and log price levels. We use … fractional integration and structural breaks in the meanand variance of inflation in the 1970s and 1980s and weincorporate these …) model with those for ARIMA(1,d,1) models withfixed order of d=0 and d=1 for inflation. Comparing meansquared forecast errors …

of US inflation using a model with time-varying mean and variance; we report significant improvements in the forecasting …

model in an empirical study on the forecasting of U.S. headline inflation. In particular, we forecast monthly inflation … using daily oil prices and quarterly inflation using effective federal funds rates. The forecasting results and other …