Asymptotic Inference in the Lee-Carter Model for Modelling Mortality Rates
Author
Summary, in English
The most popular approach to modelling and forecasting mortality rates is the model of Lee and Carter (Modeling and Forecasting U. S. Mortality, Journal of the American Statistical Association, 87, 659–671, 1992). The popularity of the model rests mainly on its good fit to the data, its theoretical properties being obscure. The present paper provides asymptotic results for the Lee-Carter model and illustrates its inherent weaknesses formally. Requirements on the underlying data are established and variance estimators are presented in order to allow hypothesis testing and the computation of confidence intervals.
Department/s
Publishing year
2015
Language
English
Publication/Series
Working Paper / Department of Economics, School of Economics and Management, Lund University
Issue
16
Links
Document type
Working paper
Publisher
Department of Economics, Lund University
Topic
- Economics
Keywords
- Lee-Carter model
- mortality
- common factor models
- panel data
Status
Published