Farmland prices, structural breaks and panel data
(2007) In European Review of Agricultural Economics 34(2). p.161-179- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/654055
- author
- Gutierrez, Luciano ; Westerlund, Joakim LU and Erickson, Kenneth
- organization
- publishing date
- 2007
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- non-stationary panel data, farmland prices, present value model, analysis, structural breaks
- in
- European Review of Agricultural Economics
- volume
- 34
- issue
- 2
- pages
- 161 - 179
- publisher
- Oxford University Press
- external identifiers
-
- wos:000250666900002
- scopus:34548078779
- ISSN
- 0165-1587
- DOI
- 10.1093/erae/jbm018
- language
- English
- LU publication?
- yes
- id
- 16989bfd-6164-465f-8da5-34a552330301 (old id 654055)
- date added to LUP
- 2016-04-01 16:37:54
- date last changed
- 2022-01-28 21:01:23
@article{16989bfd-6164-465f-8da5-34a552330301, 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.}}, author = {{Gutierrez, Luciano and Westerlund, Joakim and Erickson, Kenneth}}, issn = {{0165-1587}}, keywords = {{non-stationary panel data; farmland prices; present value model; analysis; structural breaks}}, language = {{eng}}, number = {{2}}, pages = {{161--179}}, publisher = {{Oxford University Press}}, series = {{European Review of Agricultural Economics}}, title = {{Farmland prices, structural breaks and panel data}}, url = {{http://dx.doi.org/10.1093/erae/jbm018}}, doi = {{10.1093/erae/jbm018}}, volume = {{34}}, year = {{2007}}, }