Identifying Finite Mixtures in Econometric Models
We 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.
|Date of creation:||Sep 2010|
|Date of revision:||Jan 2013|
|Publication status:||Published in Quantitative Economics (March 2014), 5(1): 123-144|
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|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
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