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The Unobserved Heterogeneity Distribution in Duration Analysis

Author

Listed:
  • Jaap H. Abbring

    (Vrije Universiteit Amsterdam)

  • Gerard J. van den Berg

    (Vrije Universiteit Amsterdam)

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 .

Suggested Citation

  • Jaap H. Abbring & Gerard J. van den Berg, 2006. "The Unobserved Heterogeneity Distribution in Duration Analysis," Tinbergen Institute Discussion Papers 06-059/3, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:20060059
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    References listed on IDEAS

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    More about this item

    Keywords

    duration analysis; exponential mixture; gamma distribution; limit distribution; mixed proportional hazard;
    All these keywords.

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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