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 forecasts among ten principal component methods, two random walk methods, and two univariate 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 forecasts. 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 methods.
Conclusions: Model averaging approach should be considered to produce more accurate point forecasts.
Comments: This study is a sequel to another Demographic Research paper by Shang, Booth and Hyndman (2011), in which the authors compared the principal component methods for forecasting age-specific mortality rates and life expectancy at birth.
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 forecasts among ten principal component methods, two random walk methods, and two univariate 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 forecasts. 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 methods.
Conclusions: Model averaging approach should be considered to produce more accurate point forecasts.
Comments: This study is a sequel to another Demographic Research paper by Shang, Booth and Hyndman (2011), in which the authors compared the principal component methods for forecasting age-specific mortality rates and life expectancy at birth.
| Original language | English |
|---|---|
| Article number | 21 |
| Pages (from-to) | 593–644 |
| Number of pages | 52 |
| Journal | Demographic Research |
| Volume | 27 |
| DOIs | |
| Publication status | Published - 9 Nov 2012 |
| Externally published | Yes |
Keywords
- Booth-Maindonald-Smith method
- functional data analysis
- Hyndman-Ullah method
- Lee-Carter model
- Lee-Miller method
- principal components analysis