Probabilistic forecasting using stochastic diffusion models, with applications to cohort processes of marriage and fertility

Mikko Myrskylä and Joshua R. Goldstein
Additional contact information
Mikko Myrskylä: Max Planck Institute for Demographic Research, Rostock, Germany
Joshua R. Goldstein: Max Planck Institute for Demographic Research, Rostock, Germany

No WP-2010-013, MPIDR Working Papers from Max Planck Institute for Demographic Research, Rostock, Germany

Abstract: We study prediction and error propagation in Hernes, Gompertz, and logistic models for innovation diffusion. We develop a unifying framework in which the models are linearized with respect to cohort age and predictions are derived from the underlying linear process. We develop and compare methods for deriving the predictions and show how Monte Carlo simulation can be used to estimate prediction uncertainty for a wide class of underlying linear processes. For an important special case, random walk with, we develop an analytic prediction variance estimator. Both the Monte Carlo method and the analytic variance estimator allow the forecasters to make precise the level of within-model prediction uncertainty in innovation diffusion models. Empirical applications to first births, first marriages and cumulative fertility illustrate the usefulness of these methods.

JEL-codes: J1 Z0 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2010
New Economics Papers: this item is included in nep-ecm, nep-for, nep-ino and nep-mic
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.demogr.mpg.de/papers/working/wp-2010-013.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dem:wpaper:wp-2010-013

DOI: 10.4054/MPIDR-WP-2010-013

Access Statistics for this paper

More papers in MPIDR Working Papers from Max Planck Institute for Demographic Research, Rostock, Germany
Bibliographic data for series maintained by Peter Wilhelm ().