Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions
Rob Hyndman (),
Leonie Tickle and
Piet de Jong
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Heather Booth: Australian National University
Leonie Tickle: Macquarie University
Piet de Jong: Macquarie University
Demographic Research, 2006, vol. 15, issue 9, 289-310
We compare the short- to medium-term accuracy of five variants or extensions of the Lee-Carter method for mortality forecasting. These include the original Lee-Carter, the Lee-Miller and Booth-Maindonald-Smith variants, and the more flexible Hyndman-Ullah and De Jong-Tickle extensions. These methods are compared by applying them to sex-specific populations of 10 developed countries using data for 1986-2000 for evaluation. All variants and extensions are more accurate than the original Lee-Carter method for forecasting log death rates, by up to 61%. However, accuracy in log death rates does not necessarily translate into accuracy in life expectancy. There are no significant differences among the five methods in forecast accuracy for life expectancy.
Keywords: functional data; Lee-Carter model; mortality forecasting; nonparametric smoothing; principal components analysis; state space (search for similar items in EconPapers)
JEL-codes: J1 Z0 (search for similar items in EconPapers)
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Working Paper: Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:dem:demres:v:15:y:2006:i:9
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