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Farmland prices, structural breaks and panel data

Gutierrez, Luciano and Westerlund, Joakim and Erickson, Kenneth (2007) Farmland prices, structural breaks and panel data. European Review of Agricultural Economics, Vol. 34 (2), p. 161-179. eISSN 1464-3618. Article.

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DOI: 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.

Item Type:Article
ID Code:2806
Status:Published
Refereed:Yes
Uncontrolled Keywords:Farmland prices, present value model, non-stationary panel data analysis, structural breaks
Subjects:Area 07 - Scienze agrarie e veterinarie > AGR/01 Economia ed estimo rurale
Divisions:001 Università di Sassari > 01 Dipartimenti > Economia e sistemi arborei
Publisher:Oxford University Press
eISSN:1464-3618
Copyright Holders:© Oxford University Press and Foundation for the European Review of Agricultural Economics 2007
Deposited On:24 Aug 2009 10:40

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