The unobserved heterogeneity distribution in duration analysis

Jaap H. Abbring*, Gerard J. Van Den Berg

*Corresponding author for this work

Research output: Contribution to journalArticle (Academic Journal)peer-review

81 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)87-99
Number of pages13
JournalBiometrika
Volume94
Issue number1
DOIs
Publication statusPublished - Mar 2007

Keywords

  • Duration analysis
  • Exponential mixture
  • Gamma distribution
  • Limit distribution
  • Mixed proportional hazard

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