The unobserved heterogeneity distribution in duration analysis

Jaap Abbring and Gerard van den Berg

Biometrika, 2007, vol. 94, issue 1, 87-99

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. Copyright 2007, Oxford University Press.

Date: 2007
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Working Paper: The Unobserved Heterogeneity Distribution in Duration Analysis (2007)
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