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.