Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions
Rob Hyndman (),
Leonie Tickle and
Piet de Jong
No 13/06, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics
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 method; mortality forecasting; nonparametric smoothing; principal components; state space. (search for similar items in EconPapers)
JEL-codes: J11 C53 C14 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-for and nep-hea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29) Track citations by RSS feed
Downloads: (external link)
Journal Article: Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:msh:ebswps:2006-13
Ordering information: This working paper can be ordered from
http://business.mona ... -business-statistics
Access Statistics for this paper
More papers in Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics PO Box 11E, Monash University, Victoria 3800, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Dr Xibin Zhang ().