Can Machine Learning Models Predict Inflation?

Abstract This paper studies the performance of Machine Learning models in inflation forecasting. The most popular algorithms have been used, respectively Support Vector Regression, Neural Networks, LSTM, Random Forest, XGBoost and LightGBM both univariate multivariate form, order to predict Romania, expressed as CPI, Core-1, Core-2 Core-3, on multiple time horizons. results suggest that heuristic methods are not suited a data-poor environment, being unable surpass simple autoregressive model.