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Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?
16 references·0 citing·41 second hopsampled
Mortality forecasting using factor models: Time-varying or time-invariant factor loadings? (2021)Mortality forecasting using factor models…On time-varying factor models: Estimation and testing (2017)On time-varying factor models…Testing for structural breaks in dynamic factor models (2010)Testing for structural breaks…Panel Data Models With Interactive Fixed Effects (2009)Panel Data Models With Intera…Common breaks in means and variances for panel data (2009)Common breaks in means and va…A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)A Quantitative Comparison of …Mortality Modelling and Forecasting: a Review of Methods (2008)Mortality Modelling and Forec…Robust forecasting of mortality and fertility rates: A functional data approach (2006)Robust forecasting of mortali…Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions (2006)Lee-Carter mortality forecast…Smoothing and forecasting mortality rates (2004)Smoothing and forecasting mor…Lee–Carter mortality forecasting with age-specific enhancement (2003)Lee–Carter mortality forecast…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Applying Lee-Carter under conditions of variable mortality decline (2002)Applying Lee-Carter under con…Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality (2001)Evaluating the Performance of…A universal pattern of mortality decline in the G7 countries (2000)A universal pattern of mortal…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…The Modern Rise of Population (1977)Stochastic Population Forecasts for the United States: Beyond High, Medium, and Low (1994)Broken Limits to Life Expectancy (2002)ADOLESCENT RESILIENCE: A Framework for Understanding Healthy Development in the Face of Risk (2004)A Potential Decline in Life Expectancy in the United States in the 21st Century (2005)The arbitrage theory of capital asset pricing (1976)The Econometrics of Financial Markets (1997)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)A simple panel unit root test in the presence of cross‐section dependence (2007)The Econometrics of Financial Markets (2012)The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications (2000)Coherent mortality forecasts for a group of populations: An extension of the lee-carter method (2005)Reviews: Borgatta, Edgar D., ed., Sociological Methodology, 1969. San Francisco, Jossey-Bass, Inc., 1969. 302 + xvi pp. $12.50. (1972)In Search of Methuselah: Estimating the Upper Limits to Human Longevity (1990)Applied Mathematical Demography (2005)Projections of Global Mortality and Burden of Disease from 2002 to 2030 (2006)Forecasting life expectancy, years of life lost, and all-cause and cause-specific mortality for 250 causes of death: reference and alternative scenarios for 2016–40 for 195 countries and territories (2018)The age pattern of mortality (1980)Demographic forecasting: 1980 to 2005 in review (2006)Book Review: Time Series Analysis: Forecasting and Control (1977)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Self-Rated Health and Mortality: A Review of Twenty-Seven Community Studies (1997)Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models (2012)Future life expectancy in 35 industrialised countries: projections with a Bayesian model ensemble (2017)Forecasting: theory and practice (2022)New Indexes of Coincident and Leading Economic Indicators (1989)Macroeconomic Forecasting Using Diffusion Indexes (2002)Measuring Uncertainty (2015)Empirical Asset Pricing via Machine Learning (2020)A state space framework for automatic forecasting using exponential smoothing methods (2002)Specification Tests in Econometrics (1978)Common risk factors in the returns on stocks and bonds (1993)A Lagrange Multiplier test for cross-sectional dependence in a fixed effects panel data model (2012)Common Correlated Effects Estimation of Heterogenous Dynamic Panel Data Models with Weakly Exogenous Regressors (2013)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Econometric Analysis of Panel Data (2021)A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)On Stochastic Mortality Modeling (2009)Mortality density forecasts: An analysis of six stochastic mortality models (2011)
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References

  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 1992Modeling and Forecasting U. S. Mortality2,347 cited
  • 2009Panel Data Models With Interactive Fixed Effects1,685 cited
  • 2006Robust forecasting of mortality and fertility rates: A functional data approach692 cited
  • 2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States691 cited
  • 2000A universal pattern of mortality decline in the G7 countries532 cited
  • 2001Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality526 cited
  • 2008Mortality Modelling and Forecasting: a Review of Methods475 cited
  • 2002Applying Lee-Carter under conditions of variable mortality decline456 cited
  • 2004Smoothing and forecasting mortality rates452 cited
  • 2003Lee–Carter mortality forecasting with age-specific enhancement397 cited
  • 2009Common breaks in means and variances for panel data265 cited
  • 2006Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions248 cited
  • 2010Testing for structural breaks in dynamic factor models

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208 cited
  • 2017On time-varying factor models: Estimation and testing180 cited
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