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Inference On Two-Component Mixtures Under Tail Restrictions

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  • Jochmans, Koen
  • Henry, Marc
  • Salanié, Bernard

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.

Suggested Citation

  • Jochmans, Koen & Henry, Marc & Salanié, Bernard, 2017. "Inference On Two-Component Mixtures Under Tail Restrictions," Econometric Theory, Cambridge University Press, vol. 33(3), pages 610-635, June.
    • Handle: RePEc:cup:etheor:v:33:y:2017:i:03:p:610-635_00
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