Mixture models in econometric duration analysis

Econometric duration analysis has become an important part of methodology in econometrics, bringing forth a plenty of applications. The probability distribution of the duration of a time span is modelled through its conditional hazard rate given the covariates. When some of the covariates are unobservable, the duration, given the observable covariates, has a mixture distribution. The paper surveys and discusses recent developments in the specification, estimation, diagnosis and economic application of proportional hazard models with unobservables. Copyright © 2003 John Wiley & Sons, Ltd.

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