An ARFIMA multi-level model of dual-component expectations in repeated cross-sectional survey data
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.
Behavioral finance, Estimation in RCSs, Expectations, Multi-component models
Marketing and Business Analytics
Steven D. Silver and Marko Raseta. "An ARFIMA multi-level model of dual-component expectations in repeated cross-sectional survey data" Empirical Economics (2021): 683-699. https://doi.org/10.1007/s00181-019-01757-7