Advanced Search
MyIDEAS: Login to save this paper or follow this series

Inference on Mixtures Under Tail Restrictions

Contents:

Author Info

  • Marc Henry

    (Départment de sciences économiques)

  • Koen Jochmans

    (Département d'économie)

  • Bernard Salanié

    (Department of Economics (Columbia))

Abstract

Two-component mixtures are nonparametrically identified under tail-dominance conditions on the component distributions if a source of variation is available that affects the mixing proportions but not the component distributions. We motivate these restrictions through several examples. One interesting example is a location model where the location parameter is subject to classical measurement error. The identification analysis suggests very simple closed-form estimators of the component distributions and mixing proportions based on ratios of intermediate quantiles. We derive their asymptotic properties using results on tail empirical processes, and we provide simulation evidence on their finite-sample performance.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://spire.sciencespo.fr/hdl:/2441/f6h8764enu2lskk9p2m96cphi/resources/2014-01.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Sciences Po Departement of Economics in its series Sciences Po Economics Discussion Papers with number 2014-01.

as in new window
Length:
Date of creation: Jan 2014
Date of revision:
Handle: RePEc:spo:wpecon:info:hdl:2441/f6h8764enu2lskk9p2m96cphi

Contact details of provider:
Email:
Web page: http://econ.sciences-po.fr/
More information through EDIRC

Related research

Keywords: mixture model; nonparametric identification and estimation; tail empirical process;

Other versions of this item:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. V. Chernozhukov & I. Fernández-Val & A. Galichon, 2009. "Improving point and interval estimators of monotone functions by rearrangement," Biometrika, Biometrika Trust, Biometrika Trust, vol. 96(3), pages 559-575.
  2. Stéphane Bonhomme & Koen Jochmans & Jean-Marc Robin, 2013. "Nonparametric estimation of finite mixtures," Sciences Po Economics Discussion Papers, Sciences Po Departement of Economics 2013-09, Sciences Po Departement of Economics.
  3. Arthur Lewbel, 2004. "Estimation of Average Treatment Effects With Misclassification," Econometric Society 2004 North American Winter Meetings, Econometric Society 210, Econometric Society.
  4. Einmahl, J.H.J., 1992. "Limit theorems for tail processes with application to intermediate quantile estimation," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-142067, Tilburg University.
  5. Andrews, Donald W K & Schafgans, Marcia M A, 1998. "Semiparametric Estimation of the Intercept of a Sample Selection Model," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 65(3), pages 497-517, July.
  6. Aprajit Mahajan, 2006. "Identification and Estimation of Regression Models with Misclassification," Econometrica, Econometric Society, Econometric Society, vol. 74(3), pages 631-665, 05.
  7. Bollinger, Christopher R., 1996. "Bounding mean regressions when a binary regressor is mismeasured," Journal of Econometrics, Elsevier, Elsevier, vol. 73(2), pages 387-399, August.
  8. Hiroyuki Kasahara & Katsumi Shimotsu, 2009. "Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices," Econometrica, Econometric Society, Econometric Society, vol. 77(1), pages 135-175, 01.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Stephane Bonhomme & Koen Jochmans & Jean-Marc Robin, 2014. "Nonparametric spectral-based estimation of latent structures," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP18/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:spo:wpecon:info:hdl:2441/f6h8764enu2lskk9p2m96cphi. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sciences Po Departement of Economics Series Handler).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.