Model confidence sets and forecast combination: An application to age-specific mortality
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Shang, Hanlin; Haberman, Steven
Description
Background: Model averaging combines forecasts obtained from a range of models, and it often produces more accurate forecasts than a forecast from a single model. Objective: The crucial part of forecast accuracy improvement in using the model averaging lies in the determination of optimal weights from a finite sample. If the weights are selected sub-optimally, this can affect the accuracy of the model-averaged forecasts. Instead of choosing the optimal weights, we consider trimming a set of...[Show more]
dc.contributor.author | Shang, Hanlin | |
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dc.contributor.author | Haberman, Steven | |
dc.date.accessioned | 2019-09-27T05:38:45Z | |
dc.date.available | 2019-09-27T05:38:45Z | |
dc.identifier.issn | 2035-5556 | |
dc.identifier.uri | http://hdl.handle.net/1885/172038 | |
dc.description.abstract | Background: Model averaging combines forecasts obtained from a range of models, and it often produces more accurate forecasts than a forecast from a single model. Objective: The crucial part of forecast accuracy improvement in using the model averaging lies in the determination of optimal weights from a finite sample. If the weights are selected sub-optimally, this can affect the accuracy of the model-averaged forecasts. Instead of choosing the optimal weights, we consider trimming a set of models before equally averaging forecasts from the selected superior models. Motivated by Hansen et al. (2011), we apply and evaluate the model confidence set procedure when combining mortality forecasts. Data & Methods: The proposed model averaging procedure is motivated by Samuels and Sekkel (2017) based on the concept of model confidence sets as proposed by Hansen et al. (2011) that incorporates the statistical significance of the forecasting performance. As the model confidence level increases, the set of superior models generally decreases. The proposed model averaging procedure is demonstrated via national and sub-national Japanese mortality for retirement ages between 60 and 100+. Results: Illustrated by national and sub-national Japanese mortality for ages between 60 and 100+, the proposed model-average procedure gives the smallest interval forecast errors, especially for males. Conclusion: We find that robust out-of-sample point and interval forecasts may be obtained from the trimming method. By robust, we mean robustness against model misspecification. | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_AU | |
dc.publisher | SpringerOpen | |
dc.rights | © 2018 The Author(s) | |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
dc.source | Genus - Journal of Population Sciences | |
dc.subject | Equal predictability test | |
dc.subject | Japanese human mortality database | |
dc.subject | Mean interval score | |
dc.subject | Model averaging | |
dc.subject | Root mean square forecast error | |
dc.title | Model confidence sets and forecast combination: An application to age-specific mortality | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.identifier.citationvolume | 74 | |
dc.date.issued | 2018-11-21 | |
local.identifier.absfor | 010401 - Applied Statistics | |
local.identifier.absfor | 160304 - Mortality | |
local.identifier.ariespublication | u1027566xPUB113 | |
local.publisher.url | https://genus.springeropen.com | |
local.type.status | Published Version | |
local.contributor.affiliation | Shang, Hanlin, College of Business and Economics, ANU | |
local.contributor.affiliation | Haberman, Steven, City University of London | |
local.bibliographicCitation.issue | 19 | |
local.bibliographicCitation.startpage | 1 | |
local.bibliographicCitation.lastpage | 23 | |
local.identifier.doi | 10.1186/s41118-018-0043-9 | |
local.identifier.absseo | 970101 - Expanding Knowledge in the Mathematical Sciences | |
dc.date.updated | 2019-04-21T08:24:01Z | |
local.identifier.scopusID | 2-s2.0-85057064691 | |
dcterms.accessRights | Open Access | |
dc.provenance | s This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. | |
dc.rights.license | Creative Commons Attribution 4.0 International License | |
Collections | ANU Research Publications |
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