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Forecasting with the age-period-cohort model and the extended chain-ladder model

  • D. Kuang


    (Department of Statistics, University of Oxford)

  • Bent Nielsen


    (Nuffield College, Oxford University)

  • J. P. Nielsen


    (Cass Business School)

We consider forecasting from age-period-cohort models, as well as from the extended chain-ladder model. The parameters of these models are known only to be identified up to linear trends. Forecasts from such models may therefore depend on arbitrary linear trends. A condition for invariant forecasts is proposed. A number of standard forecast models are analysed.

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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2008-W09.

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Length: 8 pages
Date of creation: 06 2008
Date of revision:
Handle: RePEc:nuf:econwp:0809
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  1. Bent Nielsen & D. Kuang, 2007. "Identification of the age-period-cohort model and the extended chain ladder model," Economics Series Working Papers 2007-WO5, University of Oxford, Department of Economics.
  2. Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895, June.
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