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Good forecasts for future fertility developments are of high importance in political planning, especially regarding measures in social insurance. Fertility is the main driver of demographic change, since small fertility rates lead to a shrinking population and together with decreasing mortality...
Persistent link: https://www.econbiz.de/10011722114
This contribution proposes a simulation approach for the indirect estimation of age-specific fertility rates (ASFRs) and the total fertility rate (TFR) for Germany via time series modeling of the principal components of the ASFRs. The model accounts for cross-correlation and autocorrelation...
Persistent link: https://www.econbiz.de/10011860247
We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is fundamental in Bayesian model comparison and Bayesian model averaging. This approach is motivated by the difficulty of obtaining an accurate estimate through existing algorithms that...
Persistent link: https://www.econbiz.de/10014169831
Multi-population mortality forecasting has become an increasingly important area in actuarial science and demography, as a means to avoid long-run divergence in mortality projection. This paper aims to establish a unified state-space Bayesian framework to model, estimate and forecast mortality...
Persistent link: https://www.econbiz.de/10012832560
to simultaneously estimate the bandwidths for local linear estimators in the regression function and the bandwidth for …
Persistent link: https://www.econbiz.de/10013086871
Recent studies have showed that it is troublesome, in practice, to distinguish between long memory and nonlinear processes. Therefore, it is of obvious interest to try to capture both features of long memory and non-linearity into a single time series model to be able to assess their relative...
Persistent link: https://www.econbiz.de/10014050821
We consider forecast combination and, indirectly, model selection for VAR models when there is uncertainty about which variables to include in the model in addition to the forecast variables. The key difference from traditional Bayesian variable selection is that we also allow for uncertainty...
Persistent link: https://www.econbiz.de/10014221496
This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights...
Persistent link: https://www.econbiz.de/10014158534
We develop a new Bayesian panel regression approach to estimating an unknown number of breaks and forecasting future …
Persistent link: https://www.econbiz.de/10012912361
We present new methodology and a case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the foundational BPS framework to the multivariate setting, with detailed application in the topical and challenging context of...
Persistent link: https://www.econbiz.de/10012892757