INFERENCE ON TWO-COMPONENT MIXTURES UNDER TAIL RESTRICTIONS

Koen Jochmans, Marc Henry and Bernard Salanié

Econometric Theory, 2017, vol. 33, issue 3, 610-635

Abstract: Many econometric models can be analyzed as finite mixtures. We focus on two-component mixtures, and we show that they are nonparametrically point identified by a combination of an exclusion restriction and tail restrictions. Our identification analysis suggests simple closed-form estimators of the component distributions and mixing proportions, as well as a specification test. We derive their asymptotic properties using results on tail empirical processes and we present a simulation study that documents their finite-sample performance.

Date: 2017
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Working Paper: Inference on two component mixtures under tail restrictions (2021)
Working Paper: Inference on Two-Component Mixtures under Tail Restrictions (2017)
Working Paper: Inference on Two-Component Mixtures under Tail Restrictions (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:33:y:2017:i:03:p:610-635_00

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