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The unobserved heterogeneity distribution in duration analysis

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Author Info
Jaap H. Abbring
Gerard J. Van Den Berg

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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. Copyright 2007, Oxford University Press.

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File URL: http://hdl.handle.net/10.1093/biomet/asm013
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Publisher Info
Article provided by Oxford University Press for Biometrika Trust in its journal Biometrika.

Volume (Year): 94 (2007)
Issue (Month): 1 ()
Pages: 87-99
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:oup:biomet:v:94:y:2007:i:1:p:87-99

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  1. Meyer, Bruce D, 1990. "Unemployment Insurance and Unemployment Spells," Econometrica, Econometric Society, vol. 58(4), pages 757-82, July. [Downloadable!] (restricted)
    Other versions:
  2. Van den Berg, Gerard J., 2000. "Duration Models: Specification, Identification, and Multiple Durations," MPRA Paper 9446, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  3. Michael Baker & Angelo Melino, 1999. "Duration Dependence and Nonparametric Heterogeneity: A Monte Carlo Study," Working Papers melino-99-01, University of Toronto, Department of Economics. [Downloadable!]
    Other versions:
  4. James J. Heckman & Christopher R. Taber, 1994. "Econometric Mixture Models and More General Models for Unobservables in Duration Analysis," NBER Technical Working Papers 0157, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Elbers, Chris & Ridder, Geert, 1982. "True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model," Review of Economic Studies, Blackwell Publishing, vol. 49(3), pages 403-09, July. [Downloadable!] (restricted)
  6. Joel L. Horowitz, 1999. "Semiparametric Estimation of a Proportional Hazard Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 67(5), pages 1001-1028, September.
  7. Newman, John L & McCulloch, Charles E, 1984. "A Hazard Rate Approach to the Timing of Births," Econometrica, Econometric Society, vol. 52(4), pages 939-61, July. [Downloadable!] (restricted)
  8. Nickell, Stephen J, 1979. "Estimating the Probability of Leaving Unemployment," Econometrica, Econometric Society, vol. 47(5), pages 1249-66, September. [Downloadable!] (restricted)
  9. Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 63-132. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ronald Bachmann & Sebastian Braun, 2008. "The Impact of International Outsourcing on Labour Market Dynamics in Germany," Ruhr Economic Papers 0053, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
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  2. Hirsch, Boris & Schank, Thorsten & Schnabel, Claus, 2009. "Works Councils and Separations: Voice, Monopoly, and Insurance Effects," IZA Discussion Papers 4126, Institute for the Study of Labor (IZA). [Downloadable!]
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  3. Sabatier, Mareva, 2001. "Modes de recherche d’emploi et durée de chômage des jeunes : applications microéconométriques au Panel Téléphonique du CEREQ
    [Job search methods and youth unemployed duration]    ," MPRA Paper 10496, University Library of Munich, Germany. [Downloadable!]
  4. repec:ese:iserwp: is not listed on IDEAS
  5. Sabatier, Mareva, 2002. "Strategies D'Insertion Et Duree D'Acces Au Premier Emploi
    [Job search strategies and unemployment duration before the first job]    ," MPRA Paper 10500, University Library of Munich, Germany. [Downloadable!]
  6. Hielke Buddelmeyer & Paul H. Jensen & Elizabeth Webster, 2006. "Innovation and the Determinants of Firm Survival," IZA Discussion Papers 2386, Institute for the Study of Labor (IZA). [Downloadable!]
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  7. Goncharova, Natalia & Oskam, Arie J., 2006. "Investment Spikes in Dutch Horticulture: An Analysis at Firm and Aggregate Firm Level Over the Period 1975-1999," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25621, International Association of Agricultural Economists. [Downloadable!]
  8. Dario Sciulli, 2006. "Making the Italian Labor Market More Flexible: An Evaluation of the Treu Reform," Economics Working Papers we063408, Universidad Carlos III, Departamento de Economía. [Downloadable!]
  9. Muriel Dejemeppe & Bart Cockx, 2005. "Duration dependence in the exit rate out of unemployment in Belgium. Is it true or spurious?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 1-23. [Downloadable!]
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  10. David Haardt, 2007. "Transitions Out Of and Back To Employment among Older Men and Women in the UK," Social and Economic Dimensions of an Aging Population Research Papers 197, McMaster University. [Downloadable!]
  11. JOSÉ ARRANZ & JUAN MURO, 2004. "Recurrent unemployment, welfare benefits and heterogeneity," International Review of Applied Economics, Taylor and Francis Journals, vol. 18(4), pages 423-441, October. [Downloadable!] (restricted)
  12. Concetta Rondinelli & Cheti Nicoletti, 2009. "The (mis)specification of discrete duration models with unobserved heterogeneity: a Monte Carlo study," Temi di discussione (Economic working papers) 705, Bank of Italy, Economic Research Department. [Downloadable!]
  13. Muriel Dejemeppe & Yves Saks, 2002. "A New Light into Regional Unemployment Disparities in Belgium : Longitudinal Analysis of Grouped Duration Data," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  14. Boris Hirsch & Thorsten Schank & Claus Schnabel, 2008. "Differences in Labor Supply to Monopsonistic Firms and the Gender Pay Gap: An Empirical Analysis Using Linked Employer-Employee Data from Germany," Working Papers 1111, Princeton University, Department of Economics, Industrial Relations Section.. [Downloadable!]
  15. Zhang, Tao, 2003. "A Monte Carlo study on non-parametric estimation of duration models with unobserved heterogeneity," Memorandum 25/2003, Oslo University, Department of Economics. [Downloadable!]
  16. Donata Bessey & Uschi Backes-Gellner, 2008. "Dropping out and revising educational decisions: Evidence from vocational education," Economics of Education Working Paper Series 0040, University of Zurich, Institute for Strategy and Business Economics (ISU). [Downloadable!]
  17. Hess, Wolfgang & Persson, Maria, 2009. "Survival and Death in International Trade - Discrete-Time Durations of EU Imports," Working Papers 2009:12, Lund University, Department of Economics. [Downloadable!]
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