The unobserved heterogeneity distribution in duration analysis

• 成果类型: Article
• 署名作者: Abbring, Jaap H.; Van den Berg, Gerard J.
• 署名单位: Vrije Universiteit Amsterdam
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asm013
• 发表日期: 2007
• 页码: 8799
• 关键词: proportional hazard model; frailty models; 2 populations; unemployment; dependence; association; mortality

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.