Summary for functional demographic model or lee carter model. It is a companion to the textbook, showing how to perform the examples in the textbook using stata release 15. We express the leecarter model, an important model for the forecasting of human mortality, in terms of glms, and use our method to estimate the parameters in the model. Using stata for principles of econometrics, 4th edition kindle edition by adkins, lee c download it once and read it on your kindle device, pc, phones or tablets. This model of historic mortality change, along with associated forecasting techniques, was introduced by ronald d. Future lifetables based on the leecarter methodology and their application to calculating the pension annuities1 summary. Then, conditional on a positive outcome, an appropriate regression model is fit for the positive outcome. Leecarter model, functional demographic model, forecasting. Model mortality or fertility data using lee carter approach.
Using stata for principles of econometrics book, 2011. The leecarter model is a numerical algorithm used in mortality forecasting and life expectancy forecasting. As pointed out by girosi and king 2007, the leecarter model can be viewed as a special type of a multivariate process in which the covariance matrix depends on the drift vector and the innovations are intertemporally. Principles of econometrics is an introductory book for undergraduate students in economics and finance, and can be used for mba and firstyear graduate students in many fields. This book is a supplement to principles of econometrics, 5th edition by r. A publication to promote communication among stata users. Model mortality or fertility data using leecarter approach. Leecarter model analysis of the mortality rates data the leecarter model is well known as the famous classical model to forecast mortality rates by lee and carter 1992.
Mortality, journal of the american statistical association 87 september. Using stata for principles of econometrics, 5th edition wiley. These notes are written specially for users running the windows version, but most of the material applies to the mac and linux versions as well. Hierarchical leecarter model estimation through data. For an analysis of blackwhite differences by sex, see carter 1996b. For many developing nations, however, there is no periodic collection and systematic management of death data, or annual figures are only. Lcfit mortality models and forecasts based on the leecarter model creles costa rican longevity and health aging survey censoc matched micro dataset containing information from the 1940 us census and the social security deaths masterfile. Leecarter mortality projection with limit life table. Lee and carter 1992 was an early paper in this area. The lee carter method combines a demographic model with a statistical model of time series to forecast mortality rates. E stata ideata dal dipartimento di demografia delluniversita della california. A comparison of the leecarter model and ararch model.
Fitting models of mortality with generalized linear and non. To estimate the precision of the parameter estimates of the leecarter model, we propose a binomial framework, whose parameter point estimates can be obtained by the maximum likelihood approach and interval estimates by a bootstrap. Use features like bookmarks, note taking and highlighting while reading using stata for principles of econometrics, 4th edition. The input to the model is a matrix of age specific. We express the lee carter model, an important model for the forecasting of human mortality, in terms of glms, and use our method to estimate the parameters in the model. While the model has gained acceptance in the uk too, the persistent cohort.
Robustness and convergence in the leecarter model with. The smoothing option allows us to improve the forecasting properties of the model. Using stata for principles of econometrics, fourth edition, by lee c. Pdf using stata for principles of econometrics vivian. Aug 18, 2006 this article describes the leecarter model and the technical procedures to fit and extrapolate this model. It is useful not only for students and instructors who will be using this. Fuzzy formulation of the leecarter model forecasting with. Using gretl for principles of econometrics, 4th edition version 1. Lee and lawrence carter in 1992 with the article modeling and forecasting the time series of u.
Modelling and forecasting mortality distributions in england. We then develop our demographic model of mortality, which represents mortality level by a single index. In the original leecarter model, it is assumed that the observed number of deaths is a realization of the poisson distribution with mean equal to the expected number of deaths under the leecarter model. Techniques on the leecarter model andmariarussolillo arxiv. Extensions to the leecarter model for mortality trends and. Then, we forecast the mortality rates including regional effects. In the paper a new recursive approach to the mortality forecasting is proposed based on the wellknown lee carter stochastic model. Using the leecarter method to forecast mortality for. As pointed out by girosi and king 2007, the lee carter model can be viewed as a special type of a multivariate process in which the covariance matrix depends on the drift vector and the innovations are intertemporally. We propose the extended model which is applicable spatiotemporal data by using the leecarter model framework. This topic is not covered in the textbook, but their 1992 jasa article is very clear. Carter hill are the authors of using stata for principles of econometrics, 4th edition, published by wiley. Lee and carter 1992 proposed a model for forecasting mortality based on.
The leecarter model is designed to estimate the central mortality rates m x,t for age x in year t, which is equal to the ratio between the number of deaths, dx, t, and the exposure to risk, ex. In the paper a new recursive approach to the mortality forecasting is proposed based on the wellknown lee. The mortality rate data japan leecarter model analysis of. Steven haberman and maria russolillo november 2005 abstract in this paper we investigate the feasibility of using the lee carter methodology to construct mortality forecasts for the italian population. Compute residuals and fitted values from functional demographic model or lee carter model.
R is a powerful environment for statistical computing which runs on several platforms. These observations suggest that, since the rwd does not make any assumption about the structure of the covariance matrix, while the leecarter approach does, the leecarter estimator will be preferable to the rwd only when we have high con. In their paper, lee and carter used mortality data classi ed by age of death and year of death, and then modelled the force of mortality in terms of these two variables. The most natural method of achieving this was to extend the widely used leecarter model by introducing a set of cohort parameters in a similar method to the model in hobcraft et al. The most distinctive feature of their approach is the use of a stochastic process to model uncertainty about the. Steven haberman and maria russolillo november 2005 abstract in this paper we investigate the feasibility of using the leecarter methodology to construct mortality forecasts for the italian population. The created model is either a logpoisson see brouhns et al 2002 or a logitbinomial version of the lee carter model which has predictor structure. Dont miss the computing handouts fitting shared frailty models to child survival data from guatemala, we fit a piecewise exponential model using stata and a cox model using r. This methodology has become widely used and there have been various extensions and modi. Pdf a cohortbased extension to the leecarter model for. Pdf using stata for principles of econometrics vivian fan.
Consider here the lee carter model, obtained on the periods 18161950 in black below, 18161975 in red and 18162000 in blue, unfortunately, it is difficult to compare s since we have identifiability problems here. Lee is professor, departments of demography and econom ics, university of california, berkeley, ca 94720. The leecarter method combines a demographic model with a statistical model of time series to forecast mortality rates. Lcfit mortality models and forecasts based on the lee carter model creles costa rican longevity and health aging survey censoc matched micro dataset containing information from the 1940 us census and the social security deaths masterfile. A comparison of the leecarter model and ararch model for. An application of mcmc simulation in mortality projection for. Using stata for principles for econometrics, 4th edition.
A forecast is produced for the probability distribution of each future age specific death. To ensure identifiability one of the following constraints is imposed. These observations suggest that, since the rwd does not make any assumption about the structure of the covariance matrix, while the lee carter approach does, the lee carter estimator will be preferable to the rwd only when we have high con. The classical ageperiod ap lc model was first introduced by lee and carter 1992, combining a demographic model for the mortality rate, dependent only on factors related to age and period, describing the historical change in mortality, a method for fitting the model and a time series model for the time component which is used for forecasting. The leecarter model grs website princeton university. Hossain academy invites to regression model using stata. These data are from a longitudinal growth model with two level1 predictors, time and time2. Carter hill, is a companion to the introductory econometrics textbook principles of econometrics, fourth edition. Summary for functional demographic model or leecarter model. Recently, lee and carter 1992 developed a method henceforth lc that uses standard methods for forecasting a stochastic time series, together with a simple model for the agetime surface of the log of mortality, to model and forecast mortality.
Using stata for principles of econometrics 4e, isbn 9781118032084 or by lee c. The model grew out of their work in the late 1980s and early 1990s attempting to use inverse projection to infer rates in historical demography. Hierarchical lee carter model estimation through data cloning applied to demographically linked countries benchimol, a. In the twopart model, a binary choice model is fit for the probability of observing a positiveversuszero outcome. There are two level2 predictors of the random intercepts, x a continuous predictor and grp a 2 level categorical predictor. A comparison of leecarter and cairnsblakedowd stochastic. We also have a discussion of model interpretation via postestimation, including computation of survival probabilities. June 2012 2012 german stata users group meeting, wzb, berlin. Pdf forecasting mortality rates using the leecarter model. Compute residuals and fitted values from functional demographic model or leecarter model. Smoothing constrained generalized linear models with an. Using stata for principles of econometrics is a cutting edge text which incorporates the capabilities of stata software to practically apply the principles of econometrics. Stata modules to perform tests on ordered probit and.
The created model is either a logpoisson see brouhns et al 2002 or a logitbinomial version of the leecarter model which has predictor structure. The input to the model is a matrix of age specific mortality rates ordered monotonically by time, usually with ages in columns and years in rows. Understanding the leecarter mortality forecasting method1. This book is not a substitute for the textbook, nor is it a standalone computer manual. Using stata for principles of econometrics, 4th edition wiley. This is the using stata text for principles of econometrics, 4th edition. This article describes the leecarter model and the technical procedures to fit and extrapolate this model. The leecarter method original modeling contains the following equation. Adkins professor of economics oklahoma state university april 7, 2014. Lee and lawrence carter in 1992 with the article 7.
The leecarter method lee and carter 1992 and its various extensions e. Together, the two books provide a very good introduction to econometrics for undergraduate students and firstyear graduate students. This was first done by renshaw and haberman 2006 and later developed in haberman and renshaw 2009, and this model has subsequently become widely. For fitting purposes we select ages up to 85 and the years up to 1987, but later use all ages and years. The 4th edition provides students with an understanding of why econometrics is necessary and a working knowledge of basic econometric tools. For a treatment of male and female mortality differences, see carter and lee 1992. The data for the italian population are downloaded from the. R carter hill using stata for principles of econometrics is a cutting edge text which incorporates the capabilities of stata software to practically apply the principles of econometrics. Similarly, the model has been applied successfully to canadian lee and nault, 1993, as well to japanese seewilmoth,1993 mortality data and formed part of o cial projections. We will illustrate this with the leecarter model, which is perhaps the most durable stochastic projection model in use today.
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