A duration model with unobserved heterogeneity as a mixture of Dirichlet processes

Jan Ondrich, Kislaya Prasad

Research output: Contribution to journalArticle

Abstract

We present a semiparametric procedure for the estimation of duration models in the presence of unobservable heterogeneity. The heterogeneity distribution is modelled as a mixture of Dirichlet processes. This places weak restrictions on its functional form and yields the popular Weibull model with Gamma mixing as a limiting case.Programs to estimate the model, as well as to generate the data, may be obtained on the internet at http://garnet.acns.fsu.edu/~kprasad/.

Original languageEnglish (US)
Pages (from-to)19-25
Number of pages7
JournalEconomics Letters
Volume55
Issue number1
DOIs
StatePublished - Aug 15 1997

Keywords

  • C14
  • C41
  • Dirichlet process
  • Duration model
  • Semiparametric estimation
  • Unobserved heterogeneity

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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