Inference on two component mixtures under tail restrictions

• Tác giả: Marc Henry, Koen Jochmans, Bernard Salanié
• Ngôn ngữ: eng
• Ký hiệu phân loại: 511.4 Approximations formerly also 513.24 and expansions
• Thông tin xuất bản: 2021
• Bộ sưu tập: Metadata
• ID: 166225

Tóm tắt

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.