Inference on Two-Component Mixtures under Tail Restrictions

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Archive ouverte de Sciences Po (SPIRE)

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Ce document est lié à :
info:eu-repo/semantics/altIdentifier/arxiv/2102.06232

Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1017/S0266466616000098

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Koen Jochmans et al., « Inference on Two-Component Mixtures under Tail Restrictions », Archive ouverte de Sciences Po (SPIRE), ID : 10.1017/S0266466616000098

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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.

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