Data di Pubblicazione:
2007
Citazione:
Farmland prices, structural breaks and panel data / Gutierrez, L., Westerlund, J., Erickson, K.. - In: EUROPEAN REVIEW OF AGRICULTURAL ECONOMICS. - ISSN 0165-1587. - 34:2(2007), pp. 161-179. [10.1093/erae/jbm018]
Abstract:
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.
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.
Tipologia CRIS:
1.1 Articolo in rivista
Elenco autori:
Gutierrez, Luciano; Westerlund, J; Erickson, K.
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