Working Paper: CEPR ID: DP6219
Authors: Jaap H. Abbring; Gerard J. van den Berg
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.
Keywords: duration analysis; exponential mixture; gamma distribution; limit distribution; mixed proportional hazard
JEL Codes: C14; C31; C41
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Unobserved heterogeneity (C21) | Biased results in duration analysis (C41) |
| Ignoring unobserved heterogeneity (C20) | Biased duration analysis (C41) |
| High hazard rates (C41) | Early exit from state of interest (C41) |
| Mixed proportional hazard model with gamma distribution (C41) | More accurate estimates (C13) |
| Distribution of hazard rates (C41) | Convergence to gamma distribution (C46) |
| Results apply to wider class of models (C52) | Robustness in findings (C90) |