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Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions

Author

Listed:
  • Heather Booth

    (Australian National University)

  • Rob Hyndman

    (Monash University)

  • Leonie Tickle

    (Macquarie University)

  • Piet de Jong

    (Macquarie University)

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.

Suggested Citation

  • Heather Booth & Rob Hyndman & Leonie Tickle & Piet de Jong, 2006. "Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 15(9), pages 289-310.
    • Handle: RePEc:dem:demres:v:15:y:2006:i:9
    DOI: 10.4054/DemRes.2006.15.9
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    functional data; Lee-Carter model; mortality forecasting; nonparametric smoothing; principal components analysis; state space;
    All these keywords.

    JEL classification:

    • J1 - Labor and Demographic Economics - - Demographic Economics
    • Z0 - Other Special Topics - - General

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