|
on Forecasting |
| By: | Rob J Hyndman; Heather Booth |
| Abstract: | Age-sex-specific population forecasts are derived through stochastic population renewal using forecasts of mortality, fertility and net migration. Functional data models with time series coefficients are used to model age-specific mortality and fertility rates. As detailed migration data are lacking, net migration by age and sex is estimated as the difference between historic annual population data and successive populations one year ahead derived from a projection using fertility and mortality data. This estimate, which includes error, is also modeled using a functional data model. The three models involve different strengths of the general Box-Cox transformation chosen to minimise out-of-sample forecast error. Uncertainty is estimated from the model, with an adjustment to ensure the one-step-forecast variances are equal to those obtained with historical data. The three models are then used in the Monte Carlo simulation of future fertility, mortality and net migration, which are combined using the cohort-component method to obtain age-specific forecasts of the population by sex. The distribution of forecasts provides probabilistic prediction intervals. The method is demonstrated by making 20-year forecasts using Australian data for the period 1921-2003. |
| Keywords: | Fertility forecasting, functional data, mortality forecasting, net migration, nonparametric smoothing, population forecasting, principal components, simulation. |
| JEL: | J11 C53 C14 C32 |
| Date: | 2006–05 |
| URL: | http://d.repec.org/n?u=RePEc:msh:ebswps:2006-14&r=for |
| By: | Heather Booth; Rob J Hyndman; Leonie Tickle; Piet de Jong |
| Abstract: | We compare the short- to medium-term accuracy of five variants or extensions of the Lee-Carter method for mortality forecasting. These include the original Lee-Carter, the Lee-Miller and Booth-Maindonald-Smith variants, and the more flexible Hyndman-Ullah and De Jong-Tickle extensions. These methods are compared by applying them to sex-specific populations of 10 developed countries using data for 1986-2000 for evaluation. All variants and extensions are more accurate than the original Lee-Carter method for forecasting log death rates, by up to 61%. However, accuracy in log death rates does not necessarily translate into accuracy in life expectancy. There are no significant differences among the five methods in forecast accuracy for life expectancy. |
| Keywords: | Functional data, Lee-Carter method, mortality forecasting, nonparametric smoothing, principal components, state space. |
| JEL: | J11 C53 C14 C32 |
| Date: | 2006–05 |
| URL: | http://d.repec.org/n?u=RePEc:msh:ebswps:2006-13&r=for |
| By: | Bjørnland, Hilde C. (Dept. of Economics, University of Oslo); Brubakk, Leif (Norges Bank); Jore, Anne Sofie (Norges Bank) |
| Abstract: | The output gap (measuring the deviation of output from its potential) is a crucial concept in the monetary policy framework, indicating demand pressure that generates inflation. The output gap is also an important variable in itself, as a measure of economic fluctuations. However, its definition and estimation raise a number of theoretical and empirical questions. This paper evaluates a series of univariate and multivariate methods for extracting the output gap, and compares their value added in predicting inflation. The multivariate measures of the output gap have by far the best predictive power. This is in particular interesting, as they use information from data that are not revised in real time. We therefore compare the predictive power of alternative indicators that are less revised in real time, such as the unemployment rate and other business cycle indicators. Some of the alternative indicators do as well, or better, than the multivariate output gaps in predicting inflation. As uncertainties are particularly pronounced at the end of the calculation periods, assessment of pressures in the economy based on the uncertain output gap could benefit from being supplemented with alternative indicators that are less evised in real time. |
| Keywords: | Output gap; real time indicators; forecasting; Phillips curve |
| JEL: | C32 E31 E32 E37 |
| Date: | 2006–05–04 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:osloec:2006_011&r=for |
| By: | Pedro N. Rodríguez,; Simón Sosvilla-Rivero |
| Abstract: | We examine the relation between monthly stock returns and lagged publicly available information. Our primary objective is to determine whether the variables proposed in the literature to predict the equity premium contain incremental information to an investor. We find that certain variables do provide incremental information and may have some practical value. Although this not necessarily imply that return-forecasting models may be used to predict future stock returns, some model specifications may be used to predict future stock movements. |
| URL: | http://d.repec.org/n?u=RePEc:fda:fdaddt:2006-22&r=for |