Discussion paper

DP6219 The Unobserved Heterogeneity Distribution in Duration Analysis

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.

£6.00
Citation

Abbring, J and G Van den Berg (eds) (2007), “DP6219 The Unobserved Heterogeneity Distribution in Duration Analysis”, CEPR Press Discussion Paper No. 6219. https://cepr.org/publications/dp6219