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Co‐Integration Analysis And The Determinants Of Land Prices

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  • D. Hallam
  • F. Machado
  • G. Rapsomanikis

Abstract

This paper outlines the concept of co‐integration and its use in econometric modelling. The techniques of co‐integration analysis are described, with particular emphasis given to test procedures. Co‐integration between two or more variables is taken to imply the existence of a long‐run equilibrium relationship between them. Co‐integration analysis is applied in a re‐examination of recent empirical models of the determination of land prices in England and Wales. The results suggest that recent land price models do not describe longrun relationships between land prices and the explanatory variables selected. Criticisms of the different measurements of returns to land used in studies to date are sustained by the analysis, and a clear role for interest rates in the determination of land prices is indicated.

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  • D. Hallam & F. Machado & G. Rapsomanikis, 1992. "Co‐Integration Analysis And The Determinants Of Land Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 43(1), pages 28-37, January.
    • Handle: RePEc:bla:jageco:v:43:y:1992:i:1:p:28-37
    DOI: 10.1111/j.1477-9552.1992.tb00195.x
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    Cited by:

    1. Jean-Sauveur Ay & Laure Latruffe, 2013. "The empirical content of the present value model: a survey of the instrumental uses of farmland prices," Working Papers hal-01208917, HAL.
    2. D. Hallam, 1993. "Co‐Integration Analysis And The Determinants Of Land Prices: Reply," Journal of Agricultural Economics, Wiley Blackwell, vol. 44(1), pages 157-159, January.
    3. Telles, Tiago Santos & Reydon, Bastiaan Philip & Maia, Alexandre Gori, 2018. "Effects of no-tillage on agricultural land values in Brazil," Land Use Policy, Elsevier, vol. 76(C), pages 124-129.
    4. Obi, Ajuruchukwu & van Schalkwyk, Herman D., 2006. "Recent Trends in Agricultural Land Prices in South Africa: A Preliminary Investigation Using Cointegration Analysis," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25234, International Association of Agricultural Economists.
    5. Coronese, Matteo & Occelli, Martina & Lamperti, Francesco & Roventini, Andrea, 2023. "AgriLOVE: Agriculture, land-use and technical change in an evolutionary, agent-based model," Ecological Economics, Elsevier, vol. 208(C).
    6. Titus O. Awokuse & Joshua M. Duke, 2006. "The Causal Structure of Land Price Determinants," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 54(2), pages 227-245, June.
    7. T. A. Lloyd & A. J. Rayner, 1993. "Co‐Integration Analysis And The Determinants Of Land Prices: Comment," Journal of Agricultural Economics, Wiley Blackwell, vol. 44(1), pages 149-156, January.
    8. Bailey, A. & Williams, N. & Palmer, M. & Geering, R., 2000. "The farmer as service provider: the demand for agricultural commodities and equine services," Agricultural Systems, Elsevier, vol. 66(3), pages 191-204, December.
    9. Laure Latruffe & Chantal Le Mouël, 2009. "Capitalization Of Government Support In Agricultural Land Prices: What Do We Know?," Journal of Economic Surveys, Wiley Blackwell, vol. 23(4), pages 659-691, September.
    10. Maurice J. Roche & Kieran McQuinn, 2000. "Speculation in agricultural land," Economics Department Working Paper Series n1010700, Department of Economics, National University of Ireland - Maynooth.
    11. G. P. Zanias, 1993. "Testing For Integration In European Community Agricultural Product Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 44(3), pages 418-427, September.
    12. Tambi, N. Emmanuel, 1999. "Co-integration and error-correction modelling of agricultural export supply in Cameroon," Agricultural Economics, Blackwell, vol. 20(1), pages 57-67, January.
    13. Yazdanpanah, Ahmad, 1994. "The impact of oil price on food security in the Algeria, Iran, and Saudi Arabia: cointegration, vector-error correction model, dynamics, and causality analysis," ISU General Staff Papers 1994010108000011661, Iowa State University, Department of Economics.

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