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The Unobserved Heterogeneity Distribution in Duration Analysis

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Author Info
Abbring, Jaap H
van den Berg, Gerard J

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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.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 6219.

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Date of creation: Mar 2007
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Handle: RePEc:cpr:ceprdp:6219

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Related research
Keywords: duration analysis exponential mixture gamma distribution limit distribution mixed proportional hazard

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis

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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. 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!]
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  3. 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)
  4. 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)
  5. 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)
  6. Nickell, Stephen J, 1979. "Estimating the Probability of Leaving Unemployment," Econometrica, Econometric Society, vol. 47(5), pages 1249-66, September. [Downloadable!] (restricted)
  7. 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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  1. 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!]
  2. Dario Sciulli & António Gomes de Menezes & José Cabral Vieira, 2007. "Unemployment Duration and Disability: Evidence from Portugal," IZA Discussion Papers 3028, Institute for the Study of Labor (IZA). [Downloadable!]
  3. 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!]
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  4. 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)
  5. Muriel Dejemeppe & Yves Saks, 2002. "A New Light into Regional Unemployment Disparities in Belgium : Longitudinal Analysis of Grouped Duration Data," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 2002019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  6. 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!]
  7. Ronald Bachmann & Sebastian Braun, 2008. "The Impact of International Outsourcing on Labour Market Dynamics in Germany," SFB 649 Discussion Papers SFB649DP2008-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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  9. Antoni, Manfred & Jahn, Elke J., 2006. "Do changes in regulation affect employment duration in temporary work agencies?," IAB Discussion Paper 200618, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]. [Downloadable!]
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  10. Hielke Buddelmeyer & Paul H. Jensen & Elizabeth Webster, 2006. "Innovation and the Determinants of Firm Survival," Melbourne Institute Working Paper Series wp2006n15, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
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  11. Kozo Kiyota & Miho Takizawa, 2006. "The Shadow of Death: Pre-exit Performance of Firms in Japan," Discussion papers 06033, Research Institute of Economy, Trade and Industry (RIETI). [Downloadable!]
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  12. Cockx, Bart & Dejemeppe, Muriel, 2002. "Duration Dependence in the Exit Rate out of Unemployment in Belgium: Is It True or Spurious?," IZA Discussion Papers 632, Institute for the Study of Labor (IZA). [Downloadable!]
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