Identifying Finite Mixtures in Econometric Models
AbstractWe consider partial identification of finite mixture models in the presence of an observable source of variation in the mixture weights that leaves component distributions unchanged, as is the case in large classes of econometric models. We first show that when the number J of component distributions is known a priori, the family of mixture models compatible with the data is a subset of a J(J-1)-dimensional space. When the outcome variable is continuous, this subset is defined by linear constraints which we characterize exactly. Our identifying assumption has testable implications which we spell out for J = 2. We also extend our results to the case when the analyst does not know the true number of component distributions, and to models with discrete outcomes.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1767.
Length: 32 pages
Date of creation: Sep 2010
Date of revision: Jan 2013
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Other versions of this item:
- Marc Henry & Yuichi Kitamura & Bernard SalaniÃ©, 2010. "Identifying Finite Mixtures in Econometric Models," Discussion Papers, Columbia University, Department of Economics 0910-20, Columbia University, Department of Economics.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-09-11 (All new papers)
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