Type
Working paper
Title
Inference on Mixtures Under Tail Restrictions
In
Sciences Po Economics Discussion Papers
Author(s)
HENRY Marc - Départment de sciences économiques (Author)
JOCHMANS Koen - Département d'économie (Author)
SALANIÉ Bernard - Department of Economics (Columbia) (Author)
Collection
Sciences Po Economics Discussion Papers : 2014-01
Keywords
mixture model, nonparametric identification and estimation, tail empirical process
Abstract
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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