Academic Commons


Inference On Two-Component Mixtures Under Tail Restrictions

Jochmans, Koen; Henry, Marc; Salanie, Bernard

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.


  • thumnail for JochmansHenrySalanieMixturesET.pdf JochmansHenrySalanieMixturesET.pdf application/pdf 452 KB Download File

More About This Work

Academic Units
Published Here
June 7, 2016
Academic Commons provides global access to research and scholarship produced at Columbia University, Barnard College, Teachers College, Union Theological Seminary and Jewish Theological Seminary. Academic Commons is managed by the Columbia University Libraries.