The Robustness Of Single Index Models In Crop Markets: A Multiple Index Model Test
AbstractThe single index model (SIM), developed for analysis of financial assets, is assessed as a tool for evaluating the risk-return tradeoff faced in agricultural enterprise selection. This study tests whether some of the hypotheses underlying the SIM are valid when the SIM is used in agricultural cropping decisions. Empirical evidence from county level data does not support SIM hypotheses, indicating that more robust results might come from multiple index models.
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Bibliographic InfoArticle provided by Western Agricultural Economics Association in its journal Western Journal of Agricultural Economics.
Volume (Year): 16 (1991)
Issue (Month): 02 (December)
Agricultural Finance; Risk and Uncertainty;
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- Levinsohn, J. & Mackie-Mason, J.K., 1989.
"A Simple, Consistent Estimator For Disturbance Components In Financial Models,"
443, Stockholm - International Economic Studies.
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- Levinsohn, J. & Mackie-Mason, J.K., 1989. "A Simple, Consistent Estimate For Disturbance Components In Financial Models," Working Papers 243, Research Seminar in International Economics, University of Michigan.
- Levinsohn, J. & Mackie-Mason, J., 1989. "A Simple, Consistent Estimator For Disturbance Components In Financial Models," Papers 89-16, Michigan - Center for Research on Economic & Social Theory.
- James A. Levinsohn & Jeffrey K. MacKie-Mason, 1989. "A Simple, Consistent Estimator for Disturbance Components in Financial Models," NBER Technical Working Papers 0080, National Bureau of Economic Research, Inc.
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- Feder, Gershon & Just, Richard E & Schmitz, Andrew, 1980. "Futures Markets and the Theory of the Firm under Price Uncertainty," The Quarterly Journal of Economics, MIT Press, vol. 94(2), pages 317-28, March.
- Cranfield, John A.L., 2002. "Persistence Of Price-Cost Margins In The U.S. Food And Tobacco Manufacturing Industries: A Dynamic Single Index Model Approach," Journal of Food Distribution Research, Food Distribution Research Society, vol. 33(02), July.
- Collins, Robert A., 1993. "The Robustness Of Single Index Models In Crop Markets: A Multiple Index Model Test: Comment," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 18(01), July.
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