The cointegration approach is proposed to model cross-province mortality indices within Canada. We apply and compare the vector autoregressive model (VAR) and the vector of error correction model (VECM) derived from cointegrated models for males and females. Relying on the Johansen cointegration test, the analysis shows clearly that there is a dependence among provincial mortality indices. The two models fit well the females data. However, poor performance has been revealed for men beyond 10 years horizons. We project the mortality indices from both models and compute the annuity from the forecasts. We project the mortality indices from both models and compute the annuity from the forecasts.
(2014). A multivariate approach to project the long run relationship between mortality indices for Canadian Provinces [book chapter - capitolo di libro]. Retrieved from http://hdl.handle.net/10446/54287
A multivariate approach to project the long run relationship between mortality indices for Canadian Provinces
Consigli, Giorgio
2014-04-01
Abstract
The cointegration approach is proposed to model cross-province mortality indices within Canada. We apply and compare the vector autoregressive model (VAR) and the vector of error correction model (VECM) derived from cointegrated models for males and females. Relying on the Johansen cointegration test, the analysis shows clearly that there is a dependence among provincial mortality indices. The two models fit well the females data. However, poor performance has been revealed for men beyond 10 years horizons. We project the mortality indices from both models and compute the annuity from the forecasts. We project the mortality indices from both models and compute the annuity from the forecasts.File | Dimensione del file | Formato | |
---|---|---|---|
consigli_2014.pdf
Solo gestori di archivio
Versione:
publisher's version - versione editoriale
Licenza:
Licenza default Aisberg
Dimensione del file
912.46 kB
Formato
Adobe PDF
|
912.46 kB | Adobe PDF | Visualizza/Apri |
Pubblicazioni consigliate
Aisberg ©2008 Servizi bibliotecari, Università degli studi di Bergamo | Terms of use/Condizioni di utilizzo