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The Single Index Market Model in Agriculture

Published online by Cambridge University Press:  10 May 2017

C. M. Gempesaw II ,
A. M. Tambe ,
R. M. Nayga  and
U. C. Toensmeyer
C. M. Gempesaw II
Affiliation:
Dept. of Food and Resource Economics, University of Delaware
A. M. Tambe
Affiliation:
Dept. of Food and Resource Economics, University of Delaware
R. M. Nayga
Affiliation:
Dept. of Food and Resource Economics, University of Delaware
U. C. Toensmeyer
Affiliation:
Dept. of Food and Resource Economics, University of Delaware
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Abstract

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.

Type
Articles
Information
Northeastern Journal of Agricultural and Resource Economics , Volume 17 , Issue 2 , October 1988 , pp. 147 - 155
Copyright
Copyright © 1988 Northeastern Agricultural and Resource Economics Association 

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Footnotes

The authors acknowledge the assistance of Dr. P.A.V.B. Swamy for providing the SWAMSLEY program and the editor and anonymous reviewers for their helpful suggestions on earlier drafts of this paper. Published as Miscellaneous Paper no. 1235 of the Delaware Agricultural Experiment Station.

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