Stochastic infinite horizon forecasts for social security and related studies
By: Ronald Lee, Timothy Miller, Michael Anderson.
Contributors: Miller, Timothy.; Anderson, Michael.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10917; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10917.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Social security -- Forecasting -- Econometric models.
Description: "This paper consists of three reports on stochastic forecasting for Social Security, on infinite horizons, immigration, and structural time series models.  1) In our preferred stochastic immigration forecast, total net immigration drops from current levels down to about one million by 2020, then slowly rises to 1.2 million at the end of the century, with 95% probability bounds of 800,000 to 1.8 million at the century's end.  Adding stochastic immigration makes little difference to the probability distribution of the old age dependency ratio.  2) We incorporate parameter uncertainty, stochastic trends, and uncertain ultimate levels in stochastic models of wage growth and fertility.  These changes sometimes substantially affect the probability distributions of the individual input forecasts, but they make relatively little difference when embedded in the more fully stochastic Social Security projection.  3) Using a 500-year stochastic projection, we estimate an infinite horizon balance of -5.15% of payroll, compared to the -3.5% of the 2004 Trustees Report, probably reflecting different mortality projections.  Our 95% probability interval bounds are -10.5 and -1.3%.  Such forecasts, which reflect only "routine" uncertainty, have many problems but nonetheless seem worthwhile"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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