TY  - JOUR
A1  - Shang, Han Lin
T1  - Point and interval forecasts of age-specific life expectancies: A model averaging approach
Y1  - 2012/11/09
JF  - Demographic Research
JO  - Demographic Research
SN  - 1435-9871
SP  - 593
EP  - 644
DO  - 10.4054/DemRes.2012.27.21
VL  - 27
IS  - 21
UR  - https://www.demographic-research.org/volumes/vol27/21/
L1  - https://www.demographic-research.org/volumes/vol27/21/27-21.pdf
L2  - https://www.demographic-research.org/volumes/vol27/21/27-21.pdf
N2  - 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. 

ER  -