Identification and Forecasting in the Lee-Carter Model

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

Bent Nielsen

University of Oxford - Nuffield College

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

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

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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