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
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