We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980s and slightly increased...

In this paper, we propose a simulation-based method for computing point and density forecasts for univariate noncausal and non-Gaussian autoregressive processes. Numerical methods are needed to forecast such time series because the prediction problem is generally nonlinear and no analytic...