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

Author

Listed:
  • Steven D. Silver

    (California State University)

  • Marko Raseta

    (Keele University)

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.

Suggested Citation

  • Steven D. Silver & Marko Raseta, 2021. "An ARFIMA multi-level model of dual-component expectations in repeated cross-sectional survey data," Empirical Economics, Springer, vol. 60(2), pages 683-699, February.
    • Handle: RePEc:spr:empeco:v:60:y:2021:i:2:d:10.1007_s00181-019-01757-7
    DOI: 10.1007/s00181-019-01757-7
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    More about this item

    Keywords

    Expectations; Multi-component models; Estimation in RCSs; Behavioral finance;
    All these keywords.

    JEL classification:

    • B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
    • C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
    • G40 - Financial Economics - - Behavioral Finance - - - General

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