Structural changes in persistence of mortality

Recent researchers have observed that long-memory is prevalent in mortality data. Related to a quantifiable measure of persistence, it is an important characteristic of mortality dynamics. However, prior researchers did not consider potential change in the persistence degree and assumed it is constant. This article for the first time considers change in the persistence of mortality and demonstrates that mortality data displays obvious and substantial such changes. We apply a test of Martins and Rodrigues, a tool that has already been demonstrated to be effective in macroeconomics research, to detect the change in persistence in mortality time series for the first time. Our approach considers changes both in persistence and also in trend, separately, for each single-age mortality time series. Our results show that these two types of structural changes are very different in the aspects of age clustering and the time points of breaks. In experiments on simulated data, our model presents the best accuracy in the estimation of persistence degree compared to two control models.