Jochmans, K., Henry, M. and Salanié, B.

Inference on Two-Component Mixtures Under Tail Restrictions

Econometric Theory

Vol. 33(3) pp. 610-635 (2016)

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.

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Publisher's Link: https://doi.org/10.1017/S0266466616000098