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
Authors:	Abbring, Jaap H. ; van den Berg, Gerard J.
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Ökonometrie \| Moral Hazard \| Statistische Bestandsanalyse \| duration analysis \| exponential mixture \| gamma distribution \| limit distribution \| mixed proportional hazard

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Series:	Tinbergen Institute Discussion Paper ; 06-059/3
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	837521424 [GVK] hdl:10419/86459 [Handle] RePEc:dgr:uvatin:20060059 [RePEc]
Classification:	C41 - Duration Analysis ; C14 - Semiparametric and Nonparametric Methods
Source:	EconStor

Persistent link: https://www.econbiz.de/10010325419