Identification and forecasting in the Lee-Carter model
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.
|Date of creation:||01 Dec 2010|
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- Bent Nielsen & Anders Rahbek, 2003. "Similarity Issues in Cointegration Models," Economics Series Working Papers 1998-W13, University of Oxford, Department of Economics.
- 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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