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We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U … jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a similar … forecasts for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10003770767
Persistent link: https://www.econbiz.de/10008811071
The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...
Persistent link: https://www.econbiz.de/10010412361
We develop a vector autoregressive model with time variation in the mean and the variance. The unobserved time-varying mean is assumed to follow a random walk and we also link it to long-term Consensus forecasts, similar in spirit to so called democratic priors. The changes in variance are...
Persistent link: https://www.econbiz.de/10011809970
for Germany is derived through a stochastic population renewal process using forecasts of mortality, fertility and … indices of mortality and fertility rates. These models are then used in the simulation of future vital rates to obtain age …
Persistent link: https://www.econbiz.de/10003814452
A Bayesian dynamic compositional model is introduced that can deal with combining a large set of predictive densities. It extends the mixture of experts and the smoothly mixing regression models by allowing for combination weight dependence across models and time. A compositional model with...
Persistent link: https://www.econbiz.de/10012431874
mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a … general state-space modelling methodology, which allows modelling, estimation and forecasting of mortality under a unified … inference. We then develop a novel class of Bayesian state-space models which incorporate apriori beliefs about the mortality …
Persistent link: https://www.econbiz.de/10012990764
An extended dynamic Nelson-Siegel (DNS) model is developed with an additional functional demographic (FD) factor that considers the overall demographic age distribution as a persistent long-run driving force. The FD factor in the extended DNS model improves the accuracy of the yield curve...
Persistent link: https://www.econbiz.de/10013405139
Based on the Lee-Carter (LC) model, the benchmark in population forecasting, a variety of extensions and modifications are proposed in this paper. We investigate one of the extensions, the Hyndman-Ullah (HU) method and apply it to Asian demographic data sets: China, Japan and Taiwan. It combines...
Persistent link: https://www.econbiz.de/10010477583
We extend the literature on economic forecasting by constructing a mixed-frequency time-varying parameter vector autoregression with stochastic volatility (MF-TVP-SVVAR). The latter is able to cope with structural changes and can handle indicators sampled at different frequencies. We conduct a...
Persistent link: https://www.econbiz.de/10011962204