Testing for homogeneity in mixture models

@article{Gu2013TestingFH,
  title={Testing for homogeneity in mixture models},
  author={Jiaying Gu and Roger Koenker and Stanislav Volgushev},
  journal={Econometric Theory},
  year={2013},
  volume={34},
  pages={850-895}
}
  • Jiaying Gu, Roger Koenker, Stanislav Volgushev
  • Published 2013
  • Mathematics
  • Econometric Theory
  • Statistical models of unobserved heterogeneity are typically formalised as mixtures of simple parametric models and interest naturally focuses on testing for homogeneity versus general mixture alternatives. Many tests of this type can be interpreted as C(a) tests, as in Neyman (1959), and shown to be locally, asymptotically optimal. A unified approach to analysing the asymptotic behaviour of such tests will be described, employing a variant of the LeCam LAN framework. These C(a) tests will be… CONTINUE READING

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