DP6219 The Unobserved Heterogeneity Distribution in Duration Analysis
|Author(s):||Jaap H Abbring, Gerard van den Berg|
|Publication Date:||March 2007|
|Keyword(s):||duration analysis, exponential mixture, gamma distribution, limit distribution, mixed proportional hazard|
|JEL(s):||c14, c31, C41|
|Programme Areas:||Labour Economics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=6219|
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.