The Unobserved Heterogeneity Distribution in Duration Analysis

Jaap Abbring and Gerard van den Berg

No 6219, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: In a large class of hazard models with proportional unobserved heterogeneity, the distribution of the heterogeneity among survivors converges to a gamma distribution. This convergence is often rapid. We derive this result as a general result for exponential mixtures and explore its implications for the specification and empirical analysis of univariate and multivariate duration models.

Keywords: Duration analysis; Exponential mixture; Gamma distribution; Limit distribution; Mixed proportional hazard (search for similar items in EconPapers)
JEL-codes: C14 C31 C41 (search for similar items in EconPapers)
Date: 2007-03
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (102)

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Journal Article: The unobserved heterogeneity distribution in duration analysis (2007)
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