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

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  • Jin, Hyun Joung
  • Miljkovic, Dragan

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.

Suggested Citation

  • Jin, Hyun Joung & Miljkovic, Dragan, 2005. "Analysis of Multiple Structural Breaks in Relative Farm Prices in the United States, 1913-2003," 2005 Annual meeting, July 24-27, Providence, RI 19118, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea05:19118
    DOI: 10.22004/ag.econ.19118
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    References listed on IDEAS

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    1. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    2. Hamilton, James D., 1996. "This is what happened to the oil price-macroeconomy relationship," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 215-220, October.
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    7. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
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    Cited by:

    1. Dragan Miljkovic & William Nganje, 2008. "Regional obesity determinants in the United States: a model of myopic addictive behavior in food consumption," Agricultural Economics, International Association of Agricultural Economists, vol. 38(3), pages 375-384, May.

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