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Identification and forecasting in the Lee-Carter model

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Author Info

  • Bent Nielsen
  • J.P. Nielsen

Abstract

We consider the identification problem for the model of Lee and Carter (1992).� The parameters of this model are known only to be identified up to certain transformations.� Forecasts from the model may therefore depend on the arbitrarily chosen identification scheme.� A condition for invariant forecasts is proposed.� A number of standard forecast models are analyzed.

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File URL: http://www.nuffield.ox.ac.uk/economics/papers/2010/w7/NielsenNielsenNew2010.pdf
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Bibliographic Info

Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 2010-W07.

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Date of creation: 01 Dec 2010
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Handle: RePEc:oxf:wpaper:2010-w07

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Related research

Keywords: Age-period-cohort model; cointegration; forecasting; identification; Lee-Carter model; multi-sample problem;

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  1. Bent Nielsen & Anders Rahbek, 2003. "Similarity Issues in Cointegration Models," Economics Series Working Papers 1998-W13, University of Oxford, Department of Economics.
  2. Edviges Coelho & Luis C. Nunes, 2011. "Forecasting mortality in the event of a structural change," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 174(3), pages 713-736, 07.
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