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Publication - Professor Gerard Van den Berg

    The unobserved heterogeneity distribution in duration analysis

    Citation

    Abbring, JH & Berg, GJVD, 2007, ‘The unobserved heterogeneity distribution in duration analysis’. Biometrika, vol 94., pp. 87-99

    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.

    Full details in the University publications repository