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Farmland prices, structural breaks and panel data

journal contribution
posted on 2007-01-01, 00:00 authored by L Gutierrez, Joakim WesterlundJoakim Westerlund, K Erickson
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.

History

Journal

European review of agricultural economics

Volume

34

Issue

2

Pagination

161 - 179

Publisher

Oxford Journals

Location

Oxford, Eng.

Start date

2014-01-01

End date

2014-01-01

ISSN

1464-3618

eISSN

1464-3618

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2007, Oxford University Press (OUP)