DP6219 The Unobserved Heterogeneity Distribution in Duration Analysis

Author(s): Jaap H Abbring , Gerard J 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: www.cepr.org/pubs/dps/DP6219.asp.asp

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.