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An Information Approach to the Dynamics in Farm Income: Implications for Farmland Markets

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  • Salois, Matthew
  • Moss, Charles

Abstract

The valuation of farmland is a perennial issue for agricultural policy, given its importance in the farm investment portfolio. Despite the significance of farmland values to farmer wealth, prediction remains a difficult task. This study develops a dynamic information measure to examine the informational content of income to farmland in explaining the distribution of farmland values over time.

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File URL: http://mpra.ub.uni-muenchen.de/26850/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 26850.

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Date of creation: 31 Oct 2010
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Handle: RePEc:pra:mprapa:26850

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Keywords: information theory; farmland markets; farm income;

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  1. Robert J. Shiller, 2002. "From Efficient Market Theory to Behavioral Finance," Cowles Foundation Discussion Papers 1385, Cowles Foundation for Research in Economics, Yale University.
  2. Bentes, Sónia R. & Menezes, Rui & Mendes, Diana A., 2008. "Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3826-3830.
  3. Maasoumi, Esfandiar & Racine, Jeff, 2002. "Entropy and predictability of stock market returns," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 291-312, March.
  4. Barry K. Goodwin & Ashok K. Mishra & Fran�ois N. Ortalo-Magné, 2003. "What's Wrong with Our Models of Agricultural Land Values?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 85(3), pages 744-752.
  5. Golan, Amos, 2007. "Information and entropy econometrics - volume overview and synthesis," Journal of Econometrics, Elsevier, vol. 138(2), pages 379-387, June.
  6. Robertson, John C & Tallman, Ellis W & Whiteman, Charles H, 2005. "Forecasting Using Relative Entropy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 383-401, June.
  7. Moss, Charles B. & Mishra, Ashok K. & Erickson, Kenneth W., 2005. "Next Year On The U.S. Farmland Market: An Informational Approach," 2005 Annual meeting, July 24-27, Providence, RI 19186, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  8. Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
  9. Soofi, E. S. & Retzer, J. J., 2002. "Information indices: unification and applications," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 17-40, March.
  10. Sonia R. Bentes & Rui Menezes & Diana A. Mendes, 2007. "Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?," Papers 0709.2178, arXiv.org, revised Mar 2008.
  11. Gabriel Power & Calum Turvey, 2010. "US rural land value bubbles," Applied Economics Letters, Taylor & Francis Journals, vol. 17(7), pages 649-656.
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