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Autor:innen: 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Working Paper No. 2015:16
Verlag: 
Lund University, School of Economics and Management, Department of Economics, Lund
Zusammenfassung: 
The most popular approach to modelling and forecasting mortality rates is the model of Lee and Carter (Modeling and Forecasting U. S. Mortality, Journal of the American Statistical Association, 87, 659–671, 1992). The popularity of the model rests mainly on its good fit to the data, its theoretical properties being obscure. The present paper provides asymptotic results for the Lee-Carter model and illustrates its inherent weaknesses formally. Requirements on the underlying data are established and variance estimators are presented in order to allow hypothesis testing and the computation of confidence intervals.
Schlagwörter: 
Lee-Carter model
mortality
common factor models
panel data
JEL: 
C33
C51
C53
J11
Dokumentart: 
Working Paper

Datei(en):
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