The unobserved heterogeneity distribution in duration analysis

被引：95

作者：

Abbring, Jaap H. ^{[1
]}

Van den Berg, Gerard J. ^{[1
]}

机构：

[1] Free Univ Amsterdam, Dept Econ, NL-1081 HV Amsterdam, Netherlands

来源：

BIOMETRIKA | 2007年 / 94卷 / 01期

关键词：

duration analysis; exponential mixture; gamma distribution; limit distribution; mixed proportional hazard;

D O I：

10.1093/biomet/asm013

中图分类号：

Q [生物科学];

学科分类号：

07 [理学]; 0710 [生物学]; 09 [农学];

摘要：

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.

引用

页码：87 / 99

页数：13

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