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.

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Citation

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