Working Papers, Department of Economics, Lund University
Asymptotic Inference in the Lee-Carter Model for Modelling Mortality Rates
Abstract: 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.
Keywords: Lee-Carter model; mortality; common factor models; panel data; (follow links to similar papers)
JEL-Codes: C33; C51; C53; J11; (follow links to similar papers)
29 pages, May 26, 2015
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