Forecasting with the age-period-cohort model and the extended chain-ladder model
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.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- D. Kuang & B. Nielsen & J. P. Nielsen, 2008.
"Identification of the age-period-cohort model and the extended chain-ladder model,"
Biometrika Trust, vol. 95(4), pages 979-986.
- 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.
- Di Kuang & Bent Nielsen & J. P. Nielsen, 2007. "Identification of the age-period-cohort model and the extended chain ladder model," Economics Papers 2007-W05, Economics Group, Nuffield College, University of Oxford.
- 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.
When requesting a correction, please mention this item's handle: RePEc:nuf:econwp:0809. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maxine Collett)
If references are entirely missing, you can add them using this form.