Template-Type: ReDIF-Paper 1.0 Series: Tinbergen Institute Discussion Papers Creation-Date: 2006-07-05 Number: 06-059/3 Author-Name: Jaap H. Abbring Author-Email: abbring@tinbergen.nl Author-Workplace-Name: Vrije Universiteit Amsterdam Author-Name: Gerard J. van den Berg Author-Email: gberg@feweb.vu.nl Author-Workplace-Name: Vrije Universiteit Amsterdam Title: The Unobserved Heterogeneity Distribution in Duration Analysis 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.

This discussion paper resulted in a publication in Biometrika. Classification-JEL: C41; C14 Keywords: duration analysis; exponential mixture; gamma distribution; limit distribution; mixed proportional hazard File-Url: https://papers.tinbergen.nl/06059.pdf File-Format: application/pdf File-Size: 557901 bytes Handle: RePEc:tin:wpaper:20060059