The Unobserved Heterogeneity Distribution in Duration Analysis

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.

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Year of publication:	2006-07-05
Authors:	Abbring, Jaap H. ; Berg, Gerard J. van den
Institutions:	Tinbergen Institute
Subject:	duration analysis \| exponential mixture \| gamma distribution \| limit distribution \| mixed proportional hazard

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Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Tinbergen Institute Discussion Papers Number 06-059/3
Classification:	C41 - Duration Analysis ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137283