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Farmland prices, structural breaks and panel data

Publiceringsår: 2007
Språk: Engelska
Sidor: 161-179
Publikation/Tidskrift/Serie: European Review of Agricultural Economics
Volym: 34
Nummer: 2
Dokumenttyp: Artikel i tidskrift
Förlag: Oxford University Press


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.


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


  • ISSN: 0165-1587

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