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Biometrika Advance Access originally published online on February 28, 2007
Biometrika 2007 94(1):87-99; doi:10.1093/biomet/asm013
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Copyright © 2007 Biometrika Trust

Articles

The unobserved heterogeneity distribution in duration analysis

Jaap H. Abbring and Gerard J. Van Den Berg

Department of Economics, Free University Amsterdam, De Boelelaan 1105, 1081 HV Amsterdam, The Netherlands

jabbring{at}feweb.vu.nl

gberg{at}feweb.vu.nl

Received for publication 1 January 2004. Revision received 1 July 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.

Key Words: duration analysis • exponential mixture • gamma distribution • limit distribution • mixed proportional hazard


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