Scandinavian Working Papers in Economics
Working Papers,
Lund University, Department of Economics
No 2015:16: Asymptotic Inference in the Lee-Carter Model for Modelling Mortality Rates
Simon Reese ()
Additional contact information
Simon Reese: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden
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
29 pages, May 26, 2015
Full text files
wp15_16.pdf
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