INFERENCE ON TWO-COMPONENT MIXTURES UNDER TAIL RESTRICTIONS. (4th April 2016)

• Record Type: Journal Article
• Authors: Jochmans, Koen; Henry, Marc; Salanié, Bernard
• Is Part Of: Econometric theory. Volume 33:Number 3(2017)
• Page Start: 610
• Page End: 635
• Publication Date: 2016-04-04
• Subjects: Econometrics -- Periodicals; 330.01519505
• DOI: 10.1017/S0266466616000098
• Languages: English
• ISSNs: 0266-4666

Abstract

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.