The Unobserved Heterogeneity Distribution in Duration Analysis

Abbring, Jaap H.; van den Berg, Gerard J.

doi:10.2139/ssrn.915343

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The Unobserved Heterogeneity Distribution in Duration Analysis

Tinbergen Institute Discussion Paper No. 06-059/3

34 Pages Posted: 16 Jul 2006

See all articles by Jaap H. Abbring

Jaap H. Abbring

Tilburg University - Department of Econometrics & Operations Research; Tilburg University - Center for Economic Research (CentER); Tinbergen Institute; IZA Institute of Labor Economics

Gerard J. van den Berg

University of Groningen; VU University Amsterdam - Department of Economics; Centre for Economic Policy Research (CEPR); IZA Institute of Labor Economics; Tinbergen Institute

There are 2 versions of this paper

Date Written: 2006

Abstract

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.

Keywords: Duration analysis, exponential mixture, gamma distribution, limit distribution, mixed proportional hazard

JEL Classification: C41, C14

Suggested Citation: Suggested Citation

Abbring, Jaap H. and van den Berg, Gerard J., The Unobserved Heterogeneity Distribution in Duration Analysis (2006). Tinbergen Institute Discussion Paper No. 06-059/3, Available at SSRN: https://ssrn.com/abstract=915343 or http://dx.doi.org/10.2139/ssrn.915343