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Inference on Mixtures Under Tail Restrictions

 

Notice

Type:   Working paper
 
Titre:   Inference on Mixtures Under Tail Restrictions
 
Auteur(s):   Henry, Marc - Départment de sciences économiques (Auteur)
Jochmans, Koen (1982-...) - Département d'économie (Auteur)
Salanié, Bernard - Department of Economics (Columbia) (Auteur)
 
Date de publication:   2015-04
 
Collection:   Sciences Po Economics Discussion Papers  :  2014-01
 
Mots-clés:   [en] mixture model, nonparametric identification and estimation, tail empirical process
 
Résumé:   [en] 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.
 
 

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Version de l'éditeur 2014-01.pdf 0,77 MB