Point and interval forecasts of age-specific life expectancies: A model averaging approach
Date
2012
Authors
Shang, Hanlin
Journal Title
Journal ISSN
Volume Title
Publisher
Max Planck Institute for Demographic Research
Abstract
Background: Any improvement in the forecast accuracy of life expectancy would be beneficial for policy decision regarding the allocation of current and future resources. In this paper, I revisit some methods for forecasting age-specific life expectancies. Objective: This paper proposes a model averaging approach to produce accurate point forecasts of age-specific life expectancies. Methods: Illustrated by data from fourteen developed countries, we compare point and interval fore-casts among ten principal component methods, two random walk methods, and two uni-variate time-series methods. Results: Based on averaged one-step-ahead and ten-step-ahead forecast errors, random walk with drift and Lee-Miller methods are the two most accurate methods for producing point fore-casts. By combining their forecasts, point forecast accuracy is improved. As measured by averaged coverage probability deviance, the Hyndman-Ullah methods generally provide more accurate interval forecasts than the Lee-Carter methods. However, the Hyndman-Ullah methods produce wider half-widths of prediction interval than the Lee-Carter meth-ods. Conclusions: Model averaging approach should be considered to produce more accurate point forecasts.
Description
Keywords
Citation
Collections
Source
Demographic Research
Type
Journal article
Book Title
Entity type
Access Statement
Open Access
License Rights
Restricted until
Downloads
File
Description