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An analysis of multiple structural breaks in US relative farm prices

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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.
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Document Type: Research Article

Affiliations: 1: Department of Industrial Economics, Chung-Ang University, Anseong, 456-756 Korea 2: Department of Agribusiness and Applied Economics, NDSU, Fargo, MN, USA

Publication date: 2010-10-01

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