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The Single Index Market Model In Agriculture

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Author Info

  • Gempesaw, Conrado M., II
  • Tambe, A.M.
  • Nayga, Rodolfo M., Jr.
  • Toensmeyer, Ulrich C.

Abstract

This study illustrates the differences in empirical results due to data measurements and estimating procedures when applying the single index market model in agriculture. Gross and net return betas along with systematic and unsystematic risk proportions are estimated and found to be different. The stochastic coefficients model is used to show the difference in beta-risk estimates compared with the traditional fixed coefficients OLS procedure. A third estimating technique, weighted least squares/Prais Winsten method, is also proposed.

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File URL: http://purl.umn.edu/28834
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Bibliographic Info

Article provided by Northeastern Agricultural and Resource Economics Association in its journal Northeastern Journal of Agricultural and Resource Economics.

Volume (Year): 17 (1988)
Issue (Month): 2 (October)
Pages:

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Handle: RePEc:ags:nejare:28834

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Web page: http://www.narea.org/
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Related research

Keywords: Research Methods/ Statistical Methods;

References

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  1. Anderson, Jock R. & Feder, Gershon, 2007. "Agricultural Extension," Handbook of Agricultural Economics, Elsevier.
  2. P.A.V.B. Swamy & P.A. Tinsley, 1976. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Special Studies Papers 78, Board of Governors of the Federal Reserve System (U.S.).
  3. P.A.V.B Swamy & A.B. Kennickell & P. von zur Muehlen, 1986. "Forecasting money demand with econometric models," Special Studies Papers 196, Board of Governors of the Federal Reserve System (U.S.).
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Cited by:
  1. Amegbeto, Koffi N. & Featherstone, Allen M., 1992. "Risk Costs And The Choice Of Market Return Index," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 17(01), July.
  2. Blank, Steven C., 1993. "The Robustness Of Single Index Models In Crop Markets: A Multiple Index Model Test: Reply," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 18(01), July.
  3. Blank, Steven C., 1990. "Returns To Limited Crop Diversification," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 15(02), December.

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