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Nonparametric estimation of finite mixtures

Author

Listed:
  • Stéphane Bonhomme

    (CEMFI - Centro de Estudios Monetarios y Financieros)

  • Koen Jochmans

    (ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique)

  • Jean-Marc Robin

    (ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique)

Abstract

The aim of this paper is to provide simple nonparametric methods to estimate finitemixture models from data with repeated measurements. Three measurements suffice for the mixture to be fully identified and so our approach can be used even with very short panel data. We provide distribution theory for estimators of the mixing proportions and the mixture distributions, and various functionals thereof. We also discuss inference on the number of components. These estimators are found to perform well in a series of Monte Carlo exercises. We apply our techniques to document heterogeneity in log annual earnings using PSID data spanning the period 1969-1998.

Suggested Citation

  • Stéphane Bonhomme & Koen Jochmans & Jean-Marc Robin, 2013. "Nonparametric estimation of finite mixtures," SciencePo Working papers Main hal-00972868, HAL.
    • Handle: RePEc:hal:spmain:hal-00972868
    Note: View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-00972868
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    References listed on IDEAS

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    Cited by:

    1. Marc Henry & Koen Jochmans & Bernard Salanié, 2014. "Inference on Mixtures Under Tail Restrictions," Working Papers hal-01053810, HAL.
    2. Brodaty, Thomas & Gary-Bobo, Robert J. & Prieto, Ana, 2014. "Do risk aversion and wages explain educational choices?," Journal of Public Economics, Elsevier, vol. 117(C), pages 125-148.
    3. Stéphane Bonhomme & Koen Jochmans & Jean-Marc Robin, 2014. "Nonparametric spectral-based estimation of latent structures," CeMMAP working papers 18/14, Institute for Fiscal Studies.
    4. repec:hal:spmain:info:hdl:2441/f6h8764enu2lskk9p2m96cphi is not listed on IDEAS
    5. repec:hal:wpspec:info:hdl:2441/f6h8764enu2lskk9p2m96cphi is not listed on IDEAS

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