No abstract

Quantile residual lifetime models are often of concern in survival analysis, especially when studying a chronic or irreversible disease like dementia. In the past several decades residual life models have been studied extensively with right‐censored survival data. However these methods are not suitable to analyze the length‐biased and right‐censored data from the prevalent cohort sampling. In this article we propose nonparametric and semiparametric model‐based procedures to estimate the quantile residual lifetime with censored length‐biased data. Two test statistics are established for comparing the quantile residual lifetimes of two groups, evaluated, respectively, on ratio and difference in terms of type I error probabilities and powers. Some simulations are conducted to compare the proposed method with existing approaches. Real dementia data from the National Alzheimer's Coordinating Center are used to illustrate the proposed estimation methods by estimating the quantile residual lifetimes of the dementia patients. The Canadian Journal of Statistics 45: 220–250; 2017 © 2017 Statistical Society of Canada

This paper examines the inflation-hedging behavior of the Hong Kong securitized real estate market between April 1986 and April 2007. The monthly series of the Hang Seng Property Index (HSPI) is selected as the proxy of the Hong Kong securitized real estate market due to its comprehensive coverage and availability of rich data. We find that the vector autoregressive forecast error method, which is introduced by Den Haan (2000), outperforms the traditional linear vector autoregressive model and vector error correction model techniques in depicting the comovement between the HSPI and inflation rate. The comovement estimates show a positive correlation between the HSPI and inflation rate in the short-term and a negative correlation in the long term which indicates that the Hong Kong securitized real estate market can serve as an inflation hedge in the short term, but becomes a perverse inflation hedge in the long run. This inflation-hedging pattern differs from those of its neighboring major East Asian markets. This study demonstrates that the inflation-hedging capability of securitized real estate is not a static issue, but rather, depends on the length of the forecast horizon.