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.
No takes yet. Share an insight, caveat, or question.
Abbring et al. (2007) studied this question.
Synapse has enriched 5 related papers. Consider them for comparative context: