Inference on two component mixtures under tail restrictions

Marc Henry, Koen Jochmans and Bernard Salani\'e

Papers from arXiv.org

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: 2021-02
New Economics Papers: this item is included in nep-ecm
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Published in Econometric Theory, 2017

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http://arxiv.org/pdf/2102.06232 Latest version (application/pdf)

Related works:
Journal Article: INFERENCE ON TWO-COMPONENT MIXTURES UNDER TAIL RESTRICTIONS (2017)
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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