Testing for a unit root in Lee-Carter mortality model
نویسندگان
چکیده
Xuan Leng1 and Liang Peng2 Abstract. Motivated by a recent discovery that the two-step inference for Lee-Carter mortality model is inconsistent when the mortality index does not follow from a nearly integrated AR(1) process, we propose a test for unit root in a Lee-Carter model with an AR(2) process for the mortality index. Although testing for a unit root has been studied extensively in econometrics, the method and asymptotic results developed in this paper are unconventional. A simulation study is conducted to examine the finite sample behavior of the proposed test.
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