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The Robustness Of Single Index Models In Crop Markets: A Multiple Index Model Test

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  • Blank, Steven C.

Abstract

The 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.

Suggested Citation

  • Blank, Steven C., 1991. "The Robustness Of Single Index Models In Crop Markets: A Multiple Index Model Test," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 16(2), pages 1-9, December.
    • Handle: RePEc:ags:wjagec:32609
    DOI: 10.22004/ag.econ.32609
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    References listed on IDEAS

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    1. Turvey, Calum Greig, 1990. "An Application Of The Single Index Model To Regional And Farm Level Risk Analysis," 1990 Annual meeting, August 5-8, Vancouver, Canada 270859, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Levinsohn, James & MacKie-Mason, Jeffrey K, 1990. "A Simple, Consistent Estimator for Disturbance Components in Financial Models," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 516-520, August.
    3. Mark R. Weimar & Arne Hallam, 1988. "Risk, Diversification, and Vegetables as an Alternative Crop for Midwestern Agriculture," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 10(1), pages 75-89.
    4. Turvey, Calum Greig, 1990. "An Application of the Single Index Model to Regional and Farm Level Risk Analysis," Department of Agricultural Economics and Business 258662, University of Guelph.
    5. Blank, Steven C., 1990. "Returns To Limited Crop Diversification," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 15(2), pages 1-9, December.
    6. Peter J. Barry, 1980. "Capital Asset Pricing and Farm Real Estate," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 62(3), pages 549-553.
    7. Merle D. Faminow & Bruce L. Benson, 1990. "Integration of Spatial Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(1), pages 49-62.
    8. Robert A. Collins, 1988. "Risk Analysis with Single-Index Portfolio Models: An Application to Farm Planning: Reply," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 70(1), pages 195-196.
    9. Gershon Feder & Richard E. Just & Andrew Schmitz, 1980. "Futures Markets and the Theory of the Firm under Price Uncertainty," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 94(2), pages 317-328.
    10. Calum Greig Turvey & H. C. Driver, 1987. "Systematic and Nonsystematic Risks in Agriculture," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 35(2), pages 387-401, July.
    11. McDonald, Bill & Lee, Cheng-Few, 1988. "An Analysis of Nonlinearities, Heteroscedasticity, and Functional Form in the Market Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(4), pages 505-509, October.
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    Cited by:

    1. 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(2), pages 1-16, July.
    2. Xu, Feng & Prato, Tony & Lin, Cho-Min, 1994. "Evaluation of Risk for Alternative Farming Systems in Missouri," Miscellaneous Reports 257807, University of Missouri Columbia, Department of Agricultural Economics.
    3. 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), pages 1-4, July.

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    Keywords

    Agricultural Finance; Risk and Uncertainty;

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