Evaluating the Accuracy of Counterfactuals: Heterogeneous Survival Expectations in a Life Cycle Model
中文摘要
本文表明，由主观调查信息得到的个体层面生存预期异质性，改善了退休与储蓄动态模型的样本外预测能力。我们考虑三种对生存的建模方法：生命表、平均主观预期，以及基于所报告生存概率的个体特定估计。这些模型使用20世纪90年代的荷兰数据进行估计，在这一时期，劳动者可从59岁起退休且养老金福利不受扣减。21世纪初引入了精算调整，我们使用2006–16年期间的数据来评估反事实预测的准确性。尽管三个模型给出的偏好估计不同，但它们的样本内拟合相似。样本外预测则差异显著。具有同质预期的模型预测新制度下平均退休年龄将增加4或5年，而实际观测到的增加为2.6年。具有异质性预期的模型预测的增加为2.7年，更为接近现实。在反事实预测中，预期至关重要，即使在某一既定制度环境下，偏好与预期的不同组合看起来是等价的。
Abstract
Abstract This article shows that individual-level heterogeneity in survival expectations derived from subjective survey information improves the out-of-sample predictions of a dynamic model of retirement and saving. We consider three approaches to modelling survival: life tables, average subjective expectations, and individual-specific estimates based on reported survival probabilities. The models are estimated using Dutch data from the 1990s, a period during which workers could retire from age 59 at no penalty to pension benefits. Actuarial adjustments were introduced in the early 2000s, and we use data from the period 2006–16 to evaluate the accuracy of the counterfactual predictions. While the three models yield different preference estimates, their within-sample fit is similar. Out-of-sample forecasts do differ markedly. The models with homogeneous expectations anticipate a 4- or 5-year increase in the average retirement age in the new regime, compared with an observed increase of 2.6 years. The model with heterogeneous expectations predicts a more realistic increase of 2.7 years. Expectations matter when it comes to counterfactual predictions, even if different combinations of preferences and expectations appear equivalent within a given institutional setting.