Identification and Forecasting in the Lee-Carter Model
14 Pages Posted: 12 Dec 2010 Last revised: 16 Dec 2010
Date Written: 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.
Keywords: Age-period-cohort model, Cointegration, Forecasting, Identification, Lee-Carter model, Multi-sample problem
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