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.
Full Text
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call