The unobserved heterogeneity distribution in duration analysis

Jaap H. Abbring; Gerard J. Van Den Berg

doi:10.1093/biomet/asm013

The unobserved heterogeneity distribution in duration analysis

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

^*Corresponding author for this work

School of Economics

Research output: Contribution to journal › Article (Academic Journal) › peer-review

103 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 language	English
Pages (from-to)	87-99
Number of pages	13
Journal	Biometrika
Volume	94
Issue number	1
DOIs	https://doi.org/10.1093/biomet/asm013
Publication status	Published - Mar 2007

Keywords

Duration analysis
Exponential mixture
Gamma distribution
Limit distribution
Mixed proportional hazard

Access to Document

10.1093/biomet/asm013

Handle.net

Persistent link

Cite this

@article{f14c6d689f8248229ffd596b05ec4bd2,

title = "The unobserved heterogeneity distribution in duration analysis",

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.",

keywords = "Duration analysis, Exponential mixture, Gamma distribution, Limit distribution, Mixed proportional hazard",

author = "Abbring, {Jaap H.} and {Van Den Berg}, {Gerard J.}",

year = "2007",

month = mar,

doi = "10.1093/biomet/asm013",

language = "English",

volume = "94",

pages = "87--99",

journal = "Biometrika",

issn = "0006-3444",

publisher = "Oxford University Press",

number = "1",

}

TY - JOUR

T1 - The unobserved heterogeneity distribution in duration analysis

AU - Abbring, Jaap H.

AU - Van Den Berg, Gerard J.

PY - 2007/3

Y1 - 2007/3

N2 - 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.

AB - 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.

KW - Duration analysis

KW - Exponential mixture

KW - Gamma distribution

KW - Limit distribution

KW - Mixed proportional hazard

UR - http://www.scopus.com/inward/record.url?scp=33947118743&partnerID=8YFLogxK

U2 - 10.1093/biomet/asm013

DO - 10.1093/biomet/asm013

M3 - Article (Academic Journal)

AN - SCOPUS:33947118743

SN - 0006-3444

VL - 94

SP - 87

EP - 99

JO - Biometrika

JF - Biometrika

IS - 1

ER -

The unobserved heterogeneity distribution in duration analysis

Abstract

Keywords

Access to Document

Handle.net

Other files and links

Fingerprint

Cite this