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Farmland prices, structural breaks and panel data

Gutierrez, Luciano, Westerlund, Joakim and Erickson, Kenneth 2007, Farmland prices, structural breaks and panel data, European review of agricultural economics, vol. 34, no. 2, pp. 161-179, doi: 10.1093/erae/jbm018.

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Title Farmland prices, structural breaks and panel data
Author(s) Gutierrez, Luciano
Westerlund, Joakim
Erickson, Kenneth
Journal name European review of agricultural economics
Volume number 34
Issue number 2
Start page 161
End page 179
Total pages 19
Publisher Oxford Journals
Place of publication Oxford, Eng.
Publication date 2007
ISSN 0165-1587
1464-3618
Keyword(s) Farmland prices
Non-stationary panel data analysis
Present value model
Structural breaks
Science & Technology
Social Sciences
Life Sciences & Biomedicine
Agricultural Economics & Policy
Economics
Agriculture
Business & Economics
TRANSACTION COSTS
UNIT-ROOT
REGRESSION
RENTS
LAND
Summary Previous time series evidence has indicated that farmland prices and cash rents are not cointegrated, a finding at odds with the present value model of farmland prices. We argue that this failure to find cointegration may be due to low power of tests and to the presence of structural change representing a shifting risk premium on farmland investments. To accommodate this possibility, we use panel unit root and cointegration methods that are more powerful than conventional time series methods and allow for breaks in the cointegration relationship. Our results, based on a large panel covering 31 US states between 1960 and 2000, suggest that the present value model of farmland prices cannot be rejected. © Oxford University Press and Foundation for the European Review of Agricultural Economics 2007; all rights reserved.
Language eng
DOI 10.1093/erae/jbm018
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2007, Oxford University Press (OUP)
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078223

Document type: Journal Article
Collection: Deakin Graduate School of Business
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