{"title":"VAR Model with Sparse Group LASSO for Multi-population Mortality Forecasting","authors":"Tim J. Boonen, Yuhuai Chen","doi":"10.1016/j.ijforecast.2025.03.004","DOIUrl":null,"url":null,"abstract":"<div><div>We introduce a spatial–temporally weighted vector autoregressive (SWVAR) model for modeling and forecasting mortality rates across multiple populations. First, we stack the mortality rates of the populations and build a vector autoregressive (VAR) model. Next, we apply the sparse group least absolute shrinkage and selection operator (sparse group LASSO) for fitting to avoid overparameterization. Furthermore, we integrate spatial–temporal weights, derived from age differences and geographic centroid distances, into the grouped penalty term. These approaches allow the resulting model to effectively combine information from multiple populations and reduce confounding factors associated with combined modeling. We demonstrate through a series of empirical experiments that the spatial–temporally weighted VAR model enhances estimation accuracy and exhibits superior in-sample fitting and out-of-sample forecasting performance.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"42 1","pages":"Pages 259-280"},"PeriodicalIF":5.7000,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Forecasting","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0169207025000329","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2025/4/16 0:00:00","PubModel":"Epub","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
We introduce a spatial–temporally weighted vector autoregressive (SWVAR) model for modeling and forecasting mortality rates across multiple populations. First, we stack the mortality rates of the populations and build a vector autoregressive (VAR) model. Next, we apply the sparse group least absolute shrinkage and selection operator (sparse group LASSO) for fitting to avoid overparameterization. Furthermore, we integrate spatial–temporal weights, derived from age differences and geographic centroid distances, into the grouped penalty term. These approaches allow the resulting model to effectively combine information from multiple populations and reduce confounding factors associated with combined modeling. We demonstrate through a series of empirical experiments that the spatial–temporally weighted VAR model enhances estimation accuracy and exhibits superior in-sample fitting and out-of-sample forecasting performance.
期刊介绍:
The International Journal of Forecasting is a leading journal in its field that publishes high quality refereed papers. It aims to bridge the gap between theory and practice, making forecasting useful and relevant for decision and policy makers. The journal places strong emphasis on empirical studies, evaluation activities, implementation research, and improving the practice of forecasting. It welcomes various points of view and encourages debate to find solutions to field-related problems. The journal is the official publication of the International Institute of Forecasters (IIF) and is indexed in Sociological Abstracts, Journal of Economic Literature, Statistical Theory and Method Abstracts, INSPEC, Current Contents, UMI Data Courier, RePEc, Academic Journal Guide, CIS, IAOR, and Social Sciences Citation Index.