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Farmland prices, structural breaks and panel data

In English

Författare

Summary, in English

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.

Publiceringsår

2007

Språk

Engelska

Sidor

161-179

Publikation/Tidskrift/Serie

European Review of Agricultural Economics

Volym

34

Issue

2

Dokumenttyp

Artikel i tidskrift

Förlag

Oxford University Press

Ämne

  • Economics

Nyckelord

  • non-stationary panel data
  • farmland prices
  • present value model
  • analysis
  • structural breaks

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 0165-1587