[Abstract]
　Factor loading structural change tests proposed by Breitung and Eickmeier (2011) exhibit nonmonotonic power when a portion of the factor loadings have structural changes occuring at common dates. To investigate this phenomenon, we develop spurious factor representations of the factor model with m common breaks. We show that, under a local alternative asymptotic framework in which the magnitudes of breaks shrink at rate max{N,T}^(1/2), the original factor space is consistently estimated and the tests have power. However, if we apply the fixed alternative asymptotic framework in which the break magnitudes are fixed, then the common breaks in the factor loadings are considered as spurious factors with time invariant loadings, hence the tests lose power. Monte Carlo simulations clearly illustrate these findings. This paper casts a new light on the well known nonmonotonic power problem in structural change testing since it now occurs by identification failure between the common factors and the factor loadings. Furthermore, none of the SupWald, the SupLR, and the SupLM structural change tests can avoid this problem.

要旨：This paper presents analyses of how the externality of environmental damage affects the equilibrium properties of a simple overlapping generations model with multiple regions. Simulation results show that the government's environmental policy decreases capital accumulation. When the government imposes an environmental tax on the urban sector, such a policy decreases the urban population ratio to the rural but increases the total fertility rate.

要旨：This study considers a small parametric uncertainty of migration cost in a rational expectation two region model with increasing returns to scale and migration cost of each period increases in number of migrants. When the stochastic parameter follows a Brownian motion in continuous time with minute variance, imitative equilibrium belief in which behavior of the stochastic model approximately coincides the deterministic model, is uniquely determined dependent on given state variables; then indeterminacy of equilibria of deterministic model diminishes. However, this result critically depends on the assumption of Brownian motion and it does not hold when we suppose different stochastic process without either of two important characteristics of Brownian motion: infinite length of sample path and continuity.

【応用ミクロ経済学ワークショップと共催】

【応用ミクロ経済学ワークショップと共催】