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Bayesian Age-Period-Cohort Modeling and Prediction - BAMP

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  • Schmid, Volker J.
  • Held, Leonhard

Abstract

The software package BAMP provides a method of analyzing incidence or mortality data on the Lexis diagram, using a Bayesian version of an age-period-cohort model. A hierarchical model is assumed with a binomial model in the first-stage. As smoothing priors for the age, period and cohort parameters random walks of first and second order, with and without an additional unstructured component are available. Unstructured heterogeneity can also be included in the model. In order to evaluate the model fit, posterior deviance, DIC and predictive deviances are computed. By projecting the random walk prior into the future, future death rates can be predicted.

Suggested Citation

  • Schmid, Volker J. & Held, Leonhard, 2007. "Bayesian Age-Period-Cohort Modeling and Prediction - BAMP," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 21(i08).
    • Handle: RePEc:jss:jstsof:v:021:i08
    DOI: http://hdl.handle.net/10.18637/jss.v021.i08
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    References listed on IDEAS

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    1. David J. Spiegelhalter & Nicola G. Best & Bradley P. Carlin & Angelika Van Der Linde, 2002. "Bayesian measures of model complexity and fit," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(4), pages 583-639, October.
    2. Håvard Rue, 2001. "Fast sampling of Gaussian Markov random fields," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 325-338.
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    2. Joseph L. Breeden & Jose J. Canals-Cerda, 2016. "Consumer risk appetite, the credit cycle, and the housing bubble," Working Papers 16-5, Federal Reserve Bank of Philadelphia.
    3. Breeden, Joseph L., 2016. "Incorporating lifecycle and environment in loan-level forecasts and stress tests," European Journal of Operational Research, Elsevier, vol. 255(2), pages 649-658.
    4. Andrew Bell & Kelvyn Jones, 2014. "Another 'futile quest'? A simulation study of Yang and Land's Hierarchical Age-Period-Cohort model," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 30(11), pages 333-360.

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