Inference on Two-Component Mixtures under Tail Restrictions

Koen Jochmans, Marc Henry and Bernard Salanié

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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: 2017-06
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Published in Econometric Theory, 2017, 33 (3), pp.610-635. ⟨10.1017/S0266466616000098⟩

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Related works:
Working Paper: Inference on two component mixtures under tail restrictions (2021)
Journal Article: 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:hal:journl:hal-03945858

DOI: 10.1017/S0266466616000098

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