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The Single Index Market Model In Agriculture


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


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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  • Gempesaw, Conrado M., II & Tambe, A.M. & Nayga, Rodolfo M., Jr. & Toensmeyer, Ulrich C., 1988. "The Single Index Market Model In Agriculture," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 17(2), October.
  • Handle: RePEc:ags:nejare:28834

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    References listed on IDEAS

    1. Swamy, P. A. V. B. & Tinsley, P. A., 1980. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Journal of Econometrics, Elsevier, vol. 12(2), pages 103-142, February.
    2. 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.).
    3. Roger K. Conway & Charles B. Hallahan & Richard P. Stillman & Paul T. Prentice, 1990. "Forecasting livestock prices: Fixed and stochastic coefficients estimation comparisons," Agribusiness, John Wiley & Sons, Ltd., vol. 6(1), pages 15-32.
    4. Anderson, Jock R. & Feder, Gershon, 2007. "Agricultural Extension," Handbook of Agricultural Economics, Elsevier.
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    Cited by:

    1. 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.
    2. Blank, Steven C., 1990. "Returns To Limited Crop Diversification," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 15(02), December.
    3. 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.
    4. Toth, Marian & Lancaric, Drahoslav & Piterkova, Andrea & Savov, Radovan & Rabek, Tomas, 2014. "Measuring Systematic Risk Of Unquoted Agricultural Farms," Review of Agricultural and Applied Economics (RAAE), Faculty of Economics and Management, Slovak Agricultural University in Nitra Provider-Homepage:;Association of Agricultural Economists in Slovakia (APES), vol. 17(1).
    5. repec:ags:aoeisl:170464 is not listed on IDEAS
    6. ToÌ th, M. & LancÌŒariÄ , D. & PiterkovaÌ , A. & Savov, R., 2014. "Systematic Risk in Agriculture: A Case of Slovakia," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 6(4), December.

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