Inference on Mixtures Under Tail Restrictions
Koen Jochmans and
Bernard Salanié ()
No 2014-01, Sciences Po Economics Discussion Papers from Sciences Po Departement of Economics
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. We derive their asymptotic properties using results on tail empirical processes and we present a simulation study that documents their finite-sample performance.
Keywords: mixture model; nonparametric identification and estimation; tail empirical process (search for similar items in EconPapers)
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Working Paper: Inference on Mixtures Under Tail Restrictions (2015)
Working Paper: Inference on Mixtures Under Tail Restrictions (2014)
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