Identification and Forecasting in the Lee-Carter Model

Nielsen, Bent; Nielsen, Jens Perch

doi:10.2139/ssrn.1722538

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Identification and Forecasting in the Lee-Carter Model

14 Pages Posted: 12 Dec 2010 Last revised: 16 Dec 2010

See all articles by Bent Nielsen

Bent Nielsen

University of Oxford - Nuffield Department of Medicine

Jens Perch Nielsen

City University London - Cass Business School

Date Written: 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.

Keywords: Age-period-cohort model, Cointegration, Forecasting, Identification, Lee-Carter model, Multi-sample problem

Suggested Citation: Suggested Citation

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