An Information Approach to the Dynamics in Farm Income: Implications for Farmland Markets

Salois, Matthew and Moss, Charles (2010): An Information Approach to the Dynamics in Farm Income: Implications for Farmland Markets.

Abstract

The valuation of farmland is a perennial issue for agricultural policy, given its importance in the farm investment portfolio. Despite the significance of farmland values to farmer wealth, prediction remains a difficult task. This study develops a dynamic information measure to examine the informational content of income to farmland in explaining the distribution of farmland values over time.

• Item Type: MPRA Paper
• Language: English
• Keywords: information theory; farmland markets; farm income
• Subjects: Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q2 - Renewable Resources and Conservation > Q24 - Land; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q1 - Agriculture > Q14 - Agricultural Finance; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C49 - Other

References

Power, G.J., and C.G. Turvey. US rural land value bubbles. Applied Economics Letters 2010, 17, 649–656.

Goodwin, B.K., Mishra, A.K., and OrtaloMagne , F.N. What’s Wrong with Our Models of Agricultural Land Values. American Journal of Agricultural Economics 2003, 85, 744–752.

Schmitz, A. Boom/Bust Cycles and Ricardian Rent. American Journal of Agricultural Economics 1995, 77, 1110–1125.

Copeland, T.E. and Weston, J.F. Financial Theory and Corporate Policy 3rd Edition, Addison Wesley, 1988.

Ingersoll, J.E., Jr. Theory of Financial Decision Making Rowman & Littlefield Publishers, Lanham, Maryland, 1987.

Theil, H., and Leenders , C.T. “Tomorrow on the Amsterdam Stock Exchange.” Journal of Business 1965, 38, 227–284.

Fama, E.F. Tomorrow on the New York Stock Exchange. Journal of Business, 1965, 38, 285–299.

Shannon, C.E. A Mathematical Theory of Communication.” Bell System Technical Journal 1948, 27, 379–423.

Molgedey, L., and Ebeling, W. Local order, entropy and predictability of financial time series. European Physical Journal B 2000, 107, 733–737.

Maasoumi, E., and Racine, J. “Entropy and predictability of stock market returns.” Journal of Econometrics 2002, 107, 291–312.

Robertson, J., Tallman, E. and Whiteman, C. Forecasting using relative entropy. Journal of Money Credit, and Banking 2005, 37, 383–401.

Bentes, S., Menezes, R. and Mendes, D.A. Long memory and volatility clustering: is the empirical evidence consistent across stock markets? Physica A 2008, 387, 3826–3830.

de Souza, J., Moyano, L. and Querios, S.D. On Statistical Properties of Traded Volume in Financial Markets. European Physical Journal B 2008, 50:165–168.

Moss, C.B., Mishra, A.K. and Erickson, K. Next Year on the U.S. Farmland Market: An Informational Approach. Applied Economics 2007, 39, 581–585.

Campbell, J.Y., and Shiller, R.J. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors. Review of Financial Studies 1981, 1, 195–228.

Shiller, R.J. Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? American Economic Review 1981, 71, 421–436.

Shiller, R.J. From Efficient Markets Theory to Behavioral Finance. Journal of Economic Perspectives 2003, 17, 83–104. Maasoumi, E. A Compendium to Information Theory in Economics and Econometrics. Econometric Reviews 1993, 12, 137–181.

Soofi, E. Principle theoretic approaches. Journal of the American Statistical Association 2000, 95, 1349–1353.

Theil, H. Economics and Information Theory. North Holland, Amsterdam Holland, 1967.

Davis, H.T. The Theory of Econometrics. The Principia Press, 1941.

Golan, A. Information and entropy econometrics: A review and synthesis. Foundations and Trends in Econometrics 2006, 2, 1–145.

Kullback, S., and Liebler, R.A. On information and sufficiency. Annals of Mathematical Statistics 1951, 22, 79–86.

Soofi, E.S., and Retzer, J.J. Information indices: unification and applications. Journal of Econometrics 2002, 107, 17–40.

Soofi, E.S. Capturing the intangible concept of information. Journal of the American Statistical Association 1994, 89, 1243–1254.

Burt, O.R. Econometric Modeling of the Capitalization Formula for Farmland Prices. American Journal of Agricultural Economics 1986, 68:10–26.

Hansen, B.G. On Log-Concave and Log-Convex Infinitely Divisible Sequences and Densities. Annals of Probability 1988, 16, 1832-1839.