Cointegration, Common Features, and Persistence in U.S. Farm Output

Jayachandran N Variyam

Empirical Economics, 1996, vol. 21, issue 3, 459-73

Abstract: This paper determines the persistence of shocks to U.S. farm output at the sectoral and subsectoral level using a disaggregated vector autoregression framework. The persistence is measured under models that impose short-run common feature and long-run cointegration restrictions. The subsectoral outputs are found to have a relatively high degree of comovement in the short-run and a relatively low degree of comovement in the long-run. The common feature and cointegration restrictions are found to improve the precision of persistence and cross-persistence estimates. Subsectoral persistence shows considerable variation; persistence in Poultry & Eggs subsector is nearly three times the persistence in the Fruits & Nuts subsector. Two subsectors that share long-run common trends, Food Grains and Feed, Hay & Forage, also have significant cross-persistence implying technological spillovers.

Date: 1996
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