Point and interval forecasts of age-specific life expectancies

Han Lin Shang

Demographic Research, 2012, vol. 27, issue 21, 593-644

Abstract: Background: Any improvement in the forecast accuracy of life expectancy would be beneficial for policy decision regarding the allocation of current and future resources. In this paper, I revisit some methods for forecasting age-specific life expectancies. Objective: This paper proposes a model averaging approach to produce accurate point forecasts of age-specific life expectancies. Methods: Illustrated by data from fourteen developed countries, we compare point and interval forecasts among ten principal component methods, two random walk methods, and two univariate time-series methods. Results: Based on averaged one-step-ahead and ten-step-ahead forecast errors, random walk with drift and Lee-Miller methods are the two most accurate methods for producing point forecasts. By combining their forecasts, point forecast accuracy is improved. As measured by averaged coverage probability deviance, the Hyndman-Ullah methods generally provide more accurate interval forecasts than the Lee-Carter methods. However, the Hyndman-Ullah methods produce wider half-widths of prediction interval than the Lee-Carter methods. Conclusions: Model averaging approach should be considered to produce more accurate point forecasts. Comments: This study is a sequel to another Demographic Research paper by Shang, Booth and Hyndman (2011), in which the authors compared the principal component methods for forecasting age-specific mortality rates and life expectancy at birth.

Keywords: principal components analysis; Lee-Carter model; functional data analysis; Lee-Miller method; Booth-Maindonald-Smith method; Hyndman-Ullah method (search for similar items in EconPapers)
JEL-codes: J1 Z0 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:dem:demres:v:27:y:2012:i:21

DOI: 10.4054/DemRes.2012.27.21

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