In the wake of the recent global financial crisis, Arab spring, serial crises in the Eurozone, and ongoing trade wars among the leading countries in the world, concerns about economic policy uncertainty have heightened. However, there are several aspects of economic policy uncertainty that have not been adequately researched including the persistence of the series. The examination of the persistence of economic policy uncertainty is important. For instance, the size of the uncertainty’ persistence will determine how big the negative effect of an uncertainty shock is on the financial market as well as on the economy. This paper deals with the analysis of economic policy uncertainty for 23 countries, which include developed and developing ones. We focus on persistence by using fractional integration. This is a more general approach than the standard methods based on integer differentiation. The results indicate that the orders of integration are in the interval (0, 1) in all countries, implying long memory and mean reverting behaviour. Thus, shocks will have temporary though long lasting effects. Nevertheless, substantial differences are observed across the countries.