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arXiv · 2102.06232

Inference on two component mixtures under tail restrictions

Marc Henry·Koen Jochmans·Bernard Salanié
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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, 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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Marc Henry, Koen Jochmans, Bernard Salanié. 2021-02-11. Inference on two component mixtures under tail restrictions. https://arxiv.org/abs/2102.06232

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