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Farmland prices, structural breaks and panel data

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Author

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.

Publishing year

2007

Language

English

Pages

161-179

Publication/Series

European Review of Agricultural Economics

Volume

34

Issue

2

Document type

Journal article

Publisher

Oxford University Press

Topic

  • Economics

Keywords

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

Status

Published

ISBN/ISSN/Other

  • ISSN: 0165-1587