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An Analysis of Cointegration: Investigation of the Cost-Price Squeeze in Agriculture

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  • Campiche, Jody L.
  • Bryant, Henry L.
  • Richardson, James W.
  • Outlaw, Joe L.

Abstract

The differences in prices paid and prices received by farmers are examined using cointegration analysis. A Johansen cointegration test between prices paid and prices received revealed that the series were cointegrated. After accounting for technological change, we do not reject a long-run one-for-one correspondence between prices paid and prices received.

Suggested Citation

  • Campiche, Jody L. & Bryant, Henry L. & Richardson, James W. & Outlaw, Joe L., 2006. "An Analysis of Cointegration: Investigation of the Cost-Price Squeeze in Agriculture," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35357, Southern Agricultural Economics Association.
    • Handle: RePEc:ags:saeaso:35357
    DOI: 10.22004/ag.econ.35357
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    References listed on IDEAS

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    1. Bruce Gardner, 1981. "On the Power of Macroeconomic Linkages to Explain Events in U.S. Agriculture," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 63(5), pages 871-878.
    2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    3. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    4. Osbat, Chiara & Rüffer, Rasmus & Schnatz, Bernd, 2003. "The rise of the yen vis-a-vis the "synthetic" euro: is it supported by economic fundamentals?," Working Paper Series 224, European Central Bank.
    5. Tweeten, Luther G., 1980. "An Economic Investigation Into Inflation Passthrough To The Farm Sector," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 5(2), pages 1-18, December.
    6. Charles B. Moss, 1992. "The Cost-Price Squeeze in Agriculture: An Application of Cointegration," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 14(2), pages 205-213.
    7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    Demand and Price Analysis;

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