Inference on two component mixtures under tail restrictions
Econometrics
2021-02-15 v1
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.
Cite
@article{arxiv.2102.06232,
title = {Inference on two component mixtures under tail restrictions},
author = {Marc Henry and Koen Jochmans and Bernard Salanié},
journal= {arXiv preprint arXiv:2102.06232},
year = {2021}
}