Identification and Forecasting in the Lee-Carter Model
University of Oxford - Nuffield College
Jens Perch Nielsen
City University London - Cass Business School
December 8, 2010
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.
Number of Pages in PDF File: 14
Keywords: Age-period-cohort model, Cointegration, Forecasting, Identification, Lee-Carter model, Multi-sample problem
Date posted: December 12, 2010 ; Last revised: December 16, 2010
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