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Farmland prices, structural breaks and panel data

Gutierrez, Luciano; Westerlund, Joakim LU and Erickson, Kenneth (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.
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author
organization
publishing date
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
2007-12-07 14:12:19
date last changed
2017-11-05 04:32:49
@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},
  keyword      = {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},
  volume       = {34},
  year         = {2007},
}