Identification and forecasting in the Lee-Carter model

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.

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Year of publication:	2010-12-01
Authors:	Nielsen, Bent ; Nielsen, J.P.
Institutions:	Department of Economics, Oxford University
Subject:	Age-period-cohort model \| cointegration \| forecasting \| identification \| Lee-Carter model \| multi-sample problem

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Extent:	application/pdf
Series:	Economics Series Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2010-W07
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011004332