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Time Series Properties and Stochastic Forecasts: Some Econometrics of Mortality from the Canadian Laboratory


  • Frank T. Denton
  • Christine H. Feaver
  • Byron G. Spencer


Methods for time series modeling of mortality and stochastic forecasting of life expectancies are explored, using Canadian data. Consideration is given first to alternative indexes of aggregate mortality. Age-sex group system models are then estimated. Issues in the forecasting of life expectancies are discussed and their quantitative implications investigated. Experimental stochastic forecasts are presented and discussed, based on nonparametric, partially parametric, and fully parametric methods, representing alternatives to the well known Lee- Carter method. Some thoughts are offered on the interpretation of historical data in generating future probability distributions, and on the treatment of demographic uncertainty in long-run policy planning.

Suggested Citation

  • Frank T. Denton & Christine H. Feaver & Byron G. Spencer, 2001. "Time Series Properties and Stochastic Forecasts: Some Econometrics of Mortality from the Canadian Laboratory," Quantitative Studies in Economics and Population Research Reports 360, McMaster University.
  • Handle: RePEc:mcm:qseprr:360

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    References listed on IDEAS

    1. Ronald Lee & Jonathan Skinner, 1999. "Will Aging Baby Boomers Bust the Federal Budget?," Journal of Economic Perspectives, American Economic Association, vol. 13(1), pages 117-140, Winter.
    2. Denton, Frank T. & Gafni, Amiram & Spencer, Byron G., 1995. "The SHARP way to plan health care services: A description of the system and some illustrative applications in nursing human resource planning," Socio-Economic Planning Sciences, Elsevier, vol. 29(2), pages 125-137, June.
    3. Lee, Ronald & Tuljapurkar, Shripad, 1998. "Uncertain Demographic Futures and Social Security Finances," American Economic Review, American Economic Association, vol. 88(2), pages 237-241, May.
    4. Frank T. Denton & Byron G. Spencer, 1999. "Population Aging and Its Economic Costs: A Survey of the Issues and Evidence," Social and Economic Dimensions of an Aging Population Research Papers 1, McMaster University.
    5. Ronald Lee & Shripad Tuljapurkar, 1997. "Death and Taxes: Longer life, consumption, and social security," Demography, Springer;Population Association of America (PAA), vol. 34(1), pages 67-81, February.
    6. Ronald Lee & Shripad Tuljapurkar, 1998. "Stochastic Forecasts for Social Security," NBER Chapters,in: Frontiers in the Economics of Aging, pages 393-428 National Bureau of Economic Research, Inc.
    7. Frank T. Denton & Amiram Gafni & Byron G. Spencer, 2001. "Population Change and the Requirements for Physicians: The Case of Ontario," Canadian Public Policy, University of Toronto Press, vol. 27(4), pages 469-485, December.
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    Cited by:

    1. Nan Li & Ronald Lee, 2005. "Coherent mortality forecasts for a group of populations: An extension of the lee-carter method," Demography, Springer;Population Association of America (PAA), vol. 42(3), pages 575-594, August.

    More about this item


    mortality; life expectancy; stochastic forecasting;

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • J10 - Labor and Demographic Economics - - Demographic Economics - - - General

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