Analysis of Multiple Structural Breaks in Relative Farm Prices in the United States, 1913-2003

We analyze the movement of farm prices relative to other commodity prices in the period 1913:1-2003:12, 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 6 structural breaks when we consider only the mean process and 2 breaks when we consider the mean and autoregressive processes. Possible causes for these breaks are discussed.


Issue Date:
2005
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/19118
Total Pages:
27
JEL Codes:
Q11; C22
Series Statement:
Selected Paper 133711




 Record created 2017-04-01, last modified 2017-08-24

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