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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