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:	2007-03
Authors:	Abbring, Jaap H ; den Berg, Gerard J van
Institutions:	C.E.P.R. Discussion Papers
Subject:	duration analysis \| exponential mixture \| gamma distribution \| limit distribution \| mixed proportional hazard

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Extent:	application/pdf
Series:	CEPR Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 6219
Classification:	C14 - Semiparametric and Nonparametric Methods ; C31 - Cross-Sectional Models; Spatial Models ; C41 - Duration Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005791803