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An analysis of multiple structural breaks in US relative farm prices

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  • Hyun Joung Jin
  • Dragan Miljkovic

Abstract

The movement of farm prices relative to other commodity prices is analysed for the period 1913:01 to 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 six structural breaks when we consider only the mean process and two breaks when we consider the mean and autoregressive processes. Possible causes for these breaks are discussed.

Suggested Citation

  • Hyun Joung Jin & Dragan Miljkovic, 2010. "An analysis of multiple structural breaks in US relative farm prices," Applied Economics, Taylor & Francis Journals, vol. 42(25), pages 3253-3265.
    • Handle: RePEc:taf:applec:v:42:y:2010:i:25:p:3253-3265
    DOI: 10.1080/00036840802600368
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    Cited by:

    1. Shernaz Bodhanwala & Harsh Purohit & Nidhi Choudhary, 2020. "The Causal Dynamics in Indian Agriculture Commodity Prices and Macro-Economic Variables in the Presence of a Structural Break," Global Business Review, International Management Institute, vol. 21(1), pages 241-261, February.
    2. Czech, Katarzyna, 2016. "Structural Changes in Wheat Market," Problems of World Agriculture / Problemy Rolnictwa Światowego, Warsaw University of Life Sciences, vol. 16(31), pages 1-7, December.
    3. Bizimana, Jean-Claude & Bessler, David A. & Angerer, Jay P., 2016. "The 2010-2011 Drought Impacts on Cattle Market Integration in the Horn of Africa: A preliminary Evaluation using VAR and Structural Break Analysis," 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas 229991, Southern Agricultural Economics Association.
    4. Andaleeb Rahman, 2012. "Characterizing food prices in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-022, Indira Gandhi Institute of Development Research, Mumbai, India.

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