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.

Farmland prices, structural breaks and panel data / Gutierrez, Luciano; Westerlund, J; Erickson, K.. - In: EUROPEAN REVIEW OF AGRICULTURAL ECONOMICS. - ISSN 0165-1587. - 34:2(2007), pp. 161-179. [10.1093/erae/jbm018]

Farmland prices, structural breaks and panel data

GUTIERREZ, Luciano;
2007

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.
Farmland prices, structural breaks and panel data / Gutierrez, Luciano; Westerlund, J; Erickson, K.. - In: EUROPEAN REVIEW OF AGRICULTURAL ECONOMICS. - ISSN 0165-1587. - 34:2(2007), pp. 161-179. [10.1093/erae/jbm018]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11388/80260
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