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

106 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

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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",

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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 - https://www.scopus.com/pages/publications/33947118743

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

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