Farmland prices, structural breaks and panel data
journal contribution
posted on 2007-01-01, 00:00 authored by L Gutierrez, Joakim WesterlundJoakim Westerlund, K EricksonPrevious 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.
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Journal
European review of agricultural economicsVolume
34Pagination
161-179Location
Oxford, Eng.Publisher DOI
Start date
2014-01-01End date
2014-01-01ISSN
1464-3618eISSN
1464-3618Language
engPublication classification
C1.1 Refereed article in a scholarly journalCopyright notice
2007, Oxford University Press (OUP)Issue
2Publisher
Oxford JournalsUsage metrics
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