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  • normal vs gamma distributed frailty term in discrete time duration models

    Hi,

    I am running a duration model with discrete time data. When testing for unobserved heterogeneity I find that assuming a normal distributed heterogeneity term as well as
    a gamma distributed heterogeneity term both assumptions seem to be significant and result in a better model than the model without unobserved heterogeneity.

    My question is now how to chose between normal or gamma distributed heterogeneity term?
    Is there a test statistic or something I could use?

    thanks,
    Michael
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