An ARFIMA multi-level model of dual-component expectations in repeated cross-sectional survey data

Steven D. Silver () and Marko Raseta
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Steven D. Silver: California State University
Marko Raseta: Keele University

Empirical Economics, 2021, vol. 60, issue 2, No 6, 683-699

Abstract: Abstract Expectations for price in financial markets continue to be extensively investigated in multi-component models. An empirical assessment of the components of these models is challenged by the form of measured expectations in single components and sampling in repeated cross-sectional designs. We report an operationalization of a multi-component model of expectations in cross-sectional and time series data that are estimated in an ARFIMA multi-level model. Our results indicate the significance of measures of components we define at both agent and aggregate levels in predicting a widely cited measure of consumer expectations.

Keywords: Expectations; Multi-component models; Estimation in RCSs; Behavioral finance (search for similar items in EconPapers)
JEL-codes: B41 C29 G40 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s00181-019-01757-7

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