Analysis of Multiple Structural Breaks in Relative Farm Prices in the United States, 1913-2003

Hyun Jin () and Dragan Miljkovic

No 19118, 2005 Annual meeting, July 24-27, Providence, RI from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: We analyze the movement of farm prices relative to other commodity prices in the period 1913:1-2003:12, investigating the number and time of structural breaks and discussing likely causes of structural breaks in the relative farm prices. Bai and Perron's (1998, 2003) multiple structural change test with a dynamic programming algorithm is used. This test makes it possible to have an efficient computation of the estimates of the break points as global minimizers of the sum of squared residuals. We find 6 structural breaks when we consider only the mean process and 2 breaks when we consider the mean and autoregressive processes. Possible causes for these breaks are discussed.

Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
Pages: 27
Date: 2005
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea05:19118

DOI: 10.22004/ag.econ.19118

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