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.