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. Copyright 2007, Oxford University Press.

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Year of publication:	2007
Authors:	Abbring, Jaap H. ; Berg, Gerard J. Van Den
Published in:	Biometrika. - Biometrika Trust, ISSN 0006-3444. - Vol. 94.2007, 1, p. 87-99
Publisher:	Biometrika Trust

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005569474