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Food price inflation forecasting: Insights from a Macroeconomic Auto-Regressive Random Forest approach

Author

Listed:
  • McWilliams, William
  • Stewart, Shamar L.
  • Massa, Olga Isengildina

Abstract

This study proposes a Macroeconomic Auto-Regressive Random Forest (MARRF) model to complement existing methods for forecasting annual U.S. food price inflation. Leveraging the flexibility of ensemble machine learning and the interpretability of Generalized Time-Varying Parameters (GTVPs), the MARRF model integrates high-dimensional macroeconomic information extracted from the FRED-MD database to produce forecasts that are both accurate and economically informative. Out-of-sample evaluation over 2003–2024 reveals that despite informational inefficiencies, the MARRF and SARIMA exhibit complementary strengths. Forecast encompassing tests confirm that each model captures distinct information, and simple averaging of the two yields both bias reduction and accuracy improvement across the full forecast cycle—outcomes neither model achieves on its own. Furthermore, variable importance metrics and time-varying parameters reveal shifting macroeconomic drivers of food price inflation across time and forecast horizons.

Suggested Citation

  • McWilliams, William & Stewart, Shamar L. & Massa, Olga Isengildina, 2026. "Food price inflation forecasting: Insights from a Macroeconomic Auto-Regressive Random Forest approach," Food Policy, Elsevier, vol. 142(C).
    • Handle: RePEc:eee:jfpoli:v:142:y:2026:i:c:s0306919226000825
    DOI: 10.1016/j.foodpol.2026.103115
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    Keywords

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    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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