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

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.1 © 1997 Elsevier Science S.A.