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2008-07-31Diskussionspapier DOI: 10.18452/4144
Bayesian Demographic Modeling and Forecasting
dc.contributor.authorReichmuth, Wolfgang
dc.contributor.authorSarferaz, Samad
dc.date.accessioned2017-06-15T23:46:04Z
dc.date.available2017-06-15T23:46:04Z
dc.date.created2008-10-08
dc.date.issued2008-07-31
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4796
dc.description.abstractWe present a new way to model age-specific demographic variables with the example of age-specific mortality in the U.S., building on the Lee-Carter approach and extending it in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a similar development of adjacent age groups is assured allowing for consistent forecasts. We develop an appropriate Markov Chain Monte Carlo algorithm to estimate the parameters and the latent variables in an efficient one-step procedure. Via the Bayesian approach we are able to asses uncertainty intuitively by constructing error bands for the forecasts. We observe that in particular parameter uncertainty is important for long-run forecasts. This implies that hitherto existing forecasting methods, which ignore certain sources of uncertainty, may yield misleadingly sure predictions. To test the forecast ability of our model we perform in-sample and out-of-sample forecasts up to 2050, revealing that covariates can help to improve the forecasts for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is conducted in a companion paper.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectDemographyeng
dc.subjectAge-specificeng
dc.subjectMortalityeng
dc.subjectLee-Cartereng
dc.subjectStochasticeng
dc.subjectBayesianeng
dc.subjectState Space Modelseng
dc.subjectForecastseng
dc.subject.ddc330 Wirtschaft
dc.titleBayesian Demographic Modeling and Forecasting
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-10092095
dc.identifier.doihttp://dx.doi.org/10.18452/4144
local.edoc.pages35
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2008
dc.title.subtitleAn Application to U.S. Mortality
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2008,52

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