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Inference on Mixtures Under Tail Restrictions

Author

Listed:
  • Marc Henry

    (Départment de sciences économiques)

  • Koen Jochmans

    (Département d'économie (ECON))

  • Bernard Salanié

    (Department of Economics (Columbia))

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. 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

  • Marc Henry & Koen Jochmans & Bernard Salanié, 2015. "Inference on Mixtures Under Tail Restrictions," Sciences Po Economics Discussion Papers 2014-01, Sciences Po Departement of Economics.
    • Handle: RePEc:spo:wpecon:info:hdl:2441/f6h8764enu2lskk9p2m96cphi
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    2. repec:hal:wpspec:info:hdl:2441/7o52iohb7k6srk09n8t4k21sm is not listed on IDEAS
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    6. Arthur Lewbel, 2007. "Estimation of Average Treatment Effects with Misclassification," Econometrica, Econometric Society, vol. 75(2), pages 537-551, March.
    7. Donald W. K. Andrews & Marcia M. A. Schafgans, 1998. "Semiparametric Estimation of the Intercept of a Sample Selection Model," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 497-517.
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    12. Laurent Bordes & Céline Delmas & Pierre Vandekerkhove, 2006. "Semiparametric Estimation of a Two‐component Mixture Model where One Component is known," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(4), pages 733-752, December.
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    Cited by:

    1. Stéphane Bonhomme & Koen Jochmans & Jean-Marc Robin, 2014. "Nonparametric spectral-based estimation of latent structures," CeMMAP working papers CWP18/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. 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.
    3. Stéphane Bonhomme & Koen Jochmans & Jean-Marc Robin, 2014. "Estimating Multivariate Latent-Structure Models," SciencePo Working papers Main hal-01097135, HAL.
    4. repec:hal:spmain:info:hdl:2441/2i27dd3b6h94aarftq0slq652a is not listed on IDEAS
    5. Jean-Marc Robin & Stéphane Bonhomme & Koen Jochmans, 2014. "Estimating Multivariate Latent-Structure Models," Sciences Po Economics Discussion Papers 2014-18, Sciences Po Departement of Economics.
    6. repec:hal:wpspec:info:hdl:2441/2i27dd3b6h94aarftq0slq652a is not listed on IDEAS
    7. repec:hal:spmain:info:hdl:2441/etefo8s8r89oamhnhiclqr530 is not listed on IDEAS

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