Abstract

http://ssrn.com/abstract=1722538
 
 

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Identification and Forecasting in the Lee-Carter Model


Bent Nielsen


University of Oxford - Nuffield College

Jens Perch Nielsen


City University London - Cass Business School

December 8, 2010


Abstract:     
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

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Date posted: December 12, 2010 ; Last revised: December 16, 2010

Suggested Citation

Nielsen, Bent and Nielsen, Jens Perch, Identification and Forecasting in the Lee-Carter Model (December 8, 2010). Available at SSRN: http://ssrn.com/abstract=1722538 or http://dx.doi.org/10.2139/ssrn.1722538

Contact Information

Bent Nielsen
University of Oxford - Nuffield College ( email )
New Road
Oxford, OX1 1NF
United Kingdom
Jens Perch Nielsen (Contact Author)
City University London - Cass Business School ( email )
106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
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