INFERENCE on TWO-COMPONENT MIXTURES under TAIL RESTRICTIONS
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Peer-reviewed
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Abstract
© 2016 Cambridge University Press. 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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Keywords
49 Mathematical Sciences, 38 Economics, 4905 Statistics, 3802 Econometrics
Journal Title
Econometric Theory
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Journal ISSN
0266-4666
1469-4360
1469-4360
Volume Title
33
Publisher
Cambridge University Press (CUP)
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All rights reserved