THE SINGLE INDEX MARKET MODEL IN AGRICULTURE

This study illustrates the differences in empirical results due to data measurements and estimating procedures when applying the single index market model in agriculture. Gross and net return betas along with systematic and unsystematic risk proportions are estimated and found to be different. The stochastic coefficients model is used to show the difference in beta-risk estimates compared with the traditional fixed coefficients OLS procedure. A third estimating technique, weighted least squares/Prais Winsten method, is also proposed.


Issue Date:
1988-10
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/28834
Published in:
Northeastern Journal of Agricultural and Resource Economics, Volume 17, Number 2
Page range:
147-155
Total Pages:
9




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

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)