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. ; Berg, Gerard J. van den
Publisher:	[S.l.] : SSRN
Subject:	Statistische Bestandsanalyse \| Duration analysis \| Dauer \| Duration

Extent:	1 Online-Ressource (34 p)
Series:	Tinbergen Institute Discussion Paper ; No. 06-059/3
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2006 erstellt
Other identifiers:	10.2139/ssrn.915343 [DOI]
Classification:	C41 - Duration Analysis ; C14 - Semiparametric and Nonparametric Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014057117