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.
Original language | English (US) |
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Pages (from-to) | 610-635 |
Number of pages | 26 |
Journal | Econometric Theory |
Volume | 33 |
Issue number | 3 |
DOIs | |
State | Published - Jun 1 2017 |
All Science Journal Classification (ASJC) codes
- Social Sciences (miscellaneous)
- Economics and Econometrics