The Unobserved Heterogeneity Distribution in Duration Analysis

Jaap H. Abbring () and Gerard van den Berg
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Jaap H. Abbring: Vrije Universiteit Amsterdam

No 06-059/3, Tinbergen Institute Discussion Papers from Tinbergen Institute

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.

This discussion paper resulted in a publication in Biometrika .

Keywords: duration analysis; exponential mixture; gamma distribution; limit distribution; mixed proportional hazard (search for similar items in EconPapers)
JEL-codes: C14 C41 (search for similar items in EconPapers)
Date: 2006-07-05
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: The unobserved heterogeneity distribution in duration analysis (2007)
Working Paper: The Unobserved Heterogeneity Distribution in Duration Analysis (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20060059

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