Modelling old‐age retirement: An adaptive multi‐outcome LAD‐lasso regression approach

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Abstract Using unique administrative register data, we investigate old‐age retirement under the statutory pension scheme in Finland. The analysis is based on multi‐outcome modelling of pensions and working lives together with a range of explanatory variables. An adaptive multi‐outcome LAD‐lasso regression method is applied to obtain estimates of earnings and socioeconomic factors affecting old‐age retirement and to decide which of these variables should be included in our model. The proposed statistical technique produces robust and less biased regression coefficient estimates in the context of skewed outcome distributions and an excess number of zeros in some of the explanatory variables. The results underline the importance of late life course earnings and employment to the final amount of pension and reveal differences in pension outcomes across socioeconomic groups. We conclude that adaptive LAD‐lasso regression is a promising statistical technique that could be usefully employed in studying various topics in the pension industry.

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CitationsShowing 2 of 2 papers
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  • Research Article
  • 10.1080/02664763.2024.2414346
Robust multi-outcome regression with correlated covariate blocks using fused LAD-lasso
  • Oct 12, 2024
  • Journal of Applied Statistics
  • Jyrki Möttönen + 3 more

Lasso is a popular and efficient approach to simultaneous estimation and variable selection in high-dimensional regression models. In this paper, a robust fused LAD-lasso method for multiple outcomes is presented that addresses the challenges of non-normal outcome distributions and outlying observations. Measured covariate data from space or time, or spectral bands or genomic positions often have natural correlation structure arising from measuring distance between the covariates. The proposed multi-outcome approach includes handling of such covariate blocks by a group fusion penalty, which encourages similarity between neighboring regression coefficient vectors by penalizing their differences, for example, in sequential data situation. Properties of the proposed approach are illustrated by extensive simulations using BIC-type criteria for model selection. The method is also applied to a real-life skewed data on retirement behavior with longitudinal heteroscedastic explanatory variables.

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  • 10.1080/03610926.2023.2189059
Reducing bias and mitigating the influence of excess of zeros in regression covariates with multi-outcome adaptive LAD-lasso
  • Mar 17, 2023
  • Communications in Statistics - Theory and Methods
  • Jyrki Möttönen + 3 more

Zero-inflated explanatory variables, as opposed to outcome variables, are common, for example, in environmental sciences. In this article, we address the problem of having excess of zero values in some continuous explanatory variables, which are subject to multi-outcome lasso-regularized variable selection. In short, the problem results from the failure of the lasso-type of shrinkage methods to recognize any difference between zero value occurring either in the regression coefficient or in the corresponding value of the explanatory variable. This kind of confounding will obviously increase the number of false positives – all non-zero regression coefficients do not necessarily represent true outcome effects. We present here the adaptive LAD-lasso for multiple outcomes, which extends the earlier work of multi-outcome LAD-lasso with adaptive penalization. In addition to well-known property of having less biased regression coefficients, we show that the adaptivity also improves method’s ability to recover from influences of excess of zero values measured in continuous covariates.

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We examine the gender wealth gap with a focus on pension wealth and statutory pension rights. By taking into account employment characteristics of women and men, we are able to identify the extent to which the redistributive effect of pension rights reduces the gender wealth gap. The data for our analysis come from the German Socio-Economic Panel (SOEP), one of the few surveys that collects information on wealth and pension entitlements at the individual level. Pension wealth data are available in the SOEP for 2012 only. While the relative raw gender wealth gap is about 35% (or 31,000 euros) when analysing the standard measure of net worth, it shrinks to 28% when pension wealth is added. This reduction is due to redistributive elements such as caregiver credits provided through the statutory pension scheme. Results of a recentred influence functions (RIF) decomposition show that pension wealth reduces the gap substantially in the lower half of the distribution. At the 90th percentile, the gender wealth gap in net worth and in augmented wealth remains more stable at roughly 27–30%.

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