Working paper

Identification and forecasting in the Lee-Carter model.

Abstract:: 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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APA Style

Nielsen, B., & Nielsen, J. (2010). Identification and forecasting in the Lee-Carter model. Nuffield College (University of Oxford).

MLA Style

Nielsen, B., and J. Nielsen. Identification and Forecasting in the Lee-Carter Model. Nuffield College (University of Oxford), 2010.

Chicago Style

Nielsen, B, and J Nielsen. 2010. “Identification and Forecasting in the Lee-Carter Model.” Nuffield College Economics Working Papers. Nuffield College (University of Oxford).
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Files:: NielsenNielsenNew2010.pdf

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Authors

+ Nielsen, B More by this author

Role:: Author

+ Nielsen, J More by this author

Role:: Author

Publisher:: Nuffield College (University of Oxford)
Series:: Nuffield College Economics Working Papers
Publication date:: 2010-12-01

Language:: English
UUID:: uuid:680cdbe8-2dfe-4cd5-b351-18384f16c8c6
Local pid:: oai:economics.ouls.ox.ac.uk:15023
Deposit date:: 2011-08-16

Terms of use

Copyright date:: 2010

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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