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The unobserved heterogeneity distribution in duration analysis

  • Jaap H. Abbring
  • Gerard J. Van Den Berg

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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Article provided by Biometrika Trust in its journal Biometrika.

Volume (Year): 94 (2007)
Issue (Month): 1 ()
Pages: 87-99

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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.
  2. Lee Lillard & Constantijn Panis, 1996. "Marital status and mortality: The role of health," Demography, Springer, vol. 33(3), pages 313-327, August.
  3. 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.
  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.
  5. Elbers, Chris & Ridder, Geert, 1982. "True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model," Review of Economic Studies, Wiley Blackwell, vol. 49(3), pages 403-09, July.
  6. Van den Berg, Gerard J., 2001. "Duration models: specification, identification and multiple durations," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460 Elsevier.
  7. Baker, Michael & Melino, Angelo, 2000. "Duration dependence and nonparametric heterogeneity: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 96(2), pages 357-393, June.
  8. Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 63-132.
  9. Joel L. Horowitz, 1999. "Semiparametric Estimation of a Proportional Hazard Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 67(5), pages 1001-1028, September.
  10. Nickell, Stephen J, 1979. "Estimating the Probability of Leaving Unemployment," Econometrica, Econometric Society, vol. 47(5), pages 1249-66, September.
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