DP6219 | The Unobserved Heterogeneity Distribution in Duration Analysis

Publication Date


JEL Code(s)


Programme Area(s)


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.