Lubos Strelec

Mendel University in Brno · Department of Statistics and Operation Analysis

We aim to examine stock market returns before and after key events in the U.S. Sino trades between 2016 and 2019. The study tracks Cumulative Abnormal Returns (CAR) of the Índice de Precio Selectivo de Acciones (IPSA or S&P/CLX IPSA is a Chilean stock market index) for 26 important events throughout this time period. By testing for both directions...

This paper briefly addresses the zero or negative interest rate environment and its effect on banking sector. We present panel data analysis of such data well before covid19 outbreak. Robust test for normality are provided in order to check normality assumptions. Then we discuss the situation during and after covid19 outbreak.

We acknowledge the priority on the introduction of the formula of t-lgHill estimator for the positive extreme value index. We provide a novel motivation for this estimator based on ecologically driven dynamical systems. Another motivation is given directly by applying the general t-Hill procedure to log-gamma distribution. We illustrate the good qu...

The paper aims to test the research hypothesis of whether more democratic and economically developed countries tend to have higher public debts (the “Three-D-Relationship”) or not. The hypothesis was tested on a panel of 91 countries over the period from 2012 to 2016 using a two way analysis of variance where debt was the dependent variable and reg...

Modern high-performance swine genetics, such as Danish hybrid sows, can yield large litter sizes. Especially in the suckling phase, managing these large litters with low piglet losses is often a challenge. To support the modern highly prolific sows and litters, the use of pre-starters as suckling pig supplementary feed, including sufficient freshwa...

Consumers' purchasing behaviour is affected at the microeconomic level by personal, psychological, situational, social and cultural factors. Beside the political and economic factors, culture with its beliefs, values, attitudes and traditions plays a substantial role also at the macroeconomic level in affecting national aggregate consumption, despi...

Cell wall digestibility is an important quality trait of modern silage maize cultivars. The symbiotic relationship between microbes and ruminant livestock enables the efficient upcycling of otherwise for human consumption unsuitable rumen digestible fibre or cell wall components into highly nutritious milk and meat. Before entering the Czech Nation...

To satisfy increasing food and nutrient supply requirements for our growing future human population, farmers and staple food producers carry vital responsibilities. Especially farmers with ruminant livestock like dairy cows transform otherwise for human consumption unsuitable fibre into highly nutritious milk and meat. Nevertheless, dairy farmers a...

We study ARCH/GARCH effect under possible deviation from normality. Since skewness is cause of principal deviation from normality in many practical applications, e.g.finance, we study in particulary skewness. We propose robust tests for normality both for NoVaS and modified NoVaS transformed and original data. Such approach is not applicable for EG...

The assumption of normal distribution of a random variable plays an important role in various fields of science. The Jarque-Bera test is the most widely adopted omnibus test of normality in econometrics, finance and related fields. As outliers in the data sets in the field of economics and finance are frequently present, the Jarque-Bera test is not...

The main goal of this article is to identify the factors influencing the success of internet advertising actions. Factors that affect sales were identified by econometrics analysis. We used data from past campaigns. Based on modelling, recommendations are created for optimal campaign length and timing. The analysis also identifies which factors are...

Adverse effects of air pollution on health are a global problem. Chile is no exception due to the increase of urban population and increasing pollution sources. For several years in the winter months in Santiago de Chile, environmental pre-emergency is decreed, which is due to the increase of measurements of contaminants and the risk that this mean...

This paper deals with repeatedly neighbouring plant varieties problem in Alpha design, especially in damage-resistant Alpha design introduced in [1]. Simulation study is employed for this purpose and damage-resistant Alpha design is compared to original Alpha design from the repeatedly neighbouring plant varieties point of view. Number of repeatedl...

This paper deals with validating of an assumption of the reforestation optimal control model. We focus on prices of different timber types. These serve as inputs for the simulation which gives the data for estimation of prescribed functions, whose parameters are used for the optimal control problem solution. As usual, parameters of such models are...

The purpose of this work is a comparison of pension systems of the selected countries—the pension systems and reforms of Austria, the Czech Republic, Slovakia, Sweden, Poland, and Chile will be our subjects of interest. Firstly, we focus on a short historical overview of the development and classification of pension systems in general. Consequently...

In this paper we give a partial response to one of the most important statistical questions, namely, what optimal statistical decisions are and how they are related to (statistical) information theory. We exemplify the necessity of understanding the structure of information divergences and their approximations, which may in particular be understood...

Normality of the error terms in regression models is one of the basic assumptions in the applied regression analysis. Therefore, testing for normality of the error terms constitutes one of the most important steps of regression model verification and validation. Failure to assess non-normality of the error terms may lead to incorrect results of usu...

Stochastic Robustness of Control Systems under random excitation motivates challenging developments in geometric approach to robustness. The assumption of normality is rarely met when analyzing real data and thus the use of classic parametric methods with violated assumptions can result in the inaccurate computation of p-values, effect sizes, and c...

We describe a novel method of heavy tails estimation based on transformed score (t-score). Based on a new score moment method we derive the t-Hill estimator, which estimates the extreme value index of a distribution function with regularly varying tail. t-Hill estimator is distribution sensitive, thus it differs in e.g. Pareto and log-gamma case. H...

The effect of the exchange rate is often discussed in connection with economic performance, net export and inflation rate. Within the context of current discussions, we aim to examine the influence of the CZK/EUR exchange rate on changes in liquid assets in the Czech banking sector. The scope of our examination also covers the effects of GDP, CPI,...

The challenges of globalisation, technological progress and limited world resources that are typical of elevated consumption must be necessarily addressed in a manner that reflects both socio-economic and environmental problems. One relevant approach to these problems is represented by so-called sustainable economics. This approach cannot address t...

Normality is one of the basic assumptions in applying statistical procedures. For example in linear regression most of the inferential procedures are based on the assumption of normality, i.e. the disturbance vector is assumed to be normally distributed. Failure to assess non-normality of the error terms may lead to incorrect results of usual stati...

This paper investigates the impact of the new oil sector on the economic performance of major traditional sectors of the Ghanaian economy. The discovery of resource booming sectors in most countries often comes with several opportunities as well as challenges. Ghana discovered oil in 2007 and started subsequent commercial production and export in 2...

The European Union has been passing a complicated period over the last years. The EU economy lags behind its own development goals as well as, behind the results achieved by its economic partners and competitors – USA and Japan. Due to lower competitiveness in the international market environment, the persisting or even expanding problems on the do...

The assumption that the data has been generated by a normal distribution underlies many statistical methods used in chemometrics. While such methods can be quite robust to small deviations from normality, for instance caused by a small number of outliers, common tests for normality are not and will often needlessly reject normality. It is therefore...

While the current account balance for the euro area as a whole has been in balance, divergences in current account positions among the euro-area members have widened since the introduction of the common currency euro. During the last 13 years Portugal, Greece and Spain have run large and persistent current account deficits, whereas Luxembourg, the...

As economic time series or cross sectional data are typically affected by serial correlation and/or heteroskedasticity of unknown form, panel data typically contains some form of heteroskedasticity, serial correlation and/or spatial correlation. Therefore, robust inference in the presence of heteroskedasticity and spatial dependence is an important...

Verification of regression models constitutes one of the most important steps in applied regression analysis and is primarily based on analysis of error terms. Some statistical procedures used in the testing of linear regression model such as t-test or F-test are based on assumption of normality of error terms. Failure to assess non-normality of th...

In the field of transportation problems is usually the most decisive optimization criterion minimizing of transportation costs. However, there are situations where it is necessary to transport the material quickly. This is especially the case of material transport when it is transported a perishable material. In case the material is transported in...

Normal distribution is mostly used distribution in statistics, dating back to the Karl F. Gauss. It is used in many branches of statistics, however, testing for normality is not well understood. But which deviations from theoretical normality are still acceptable for a given statistical procedure? This contribution aims towards better understanding...

In this paper we show behaviour of some estimators for linear panel data models with autocorrelated idiosyncratic noise. This contribution then discusses properties of widely used estimators as ordinary least square, and Prais-Winsten estimator, respectively, in case of temporally correlated panel data. By a Monte Carlo study we assess the bias and...

Verification of regression models is primarily based on analysis of error terms and constitutes one of the most important steps in applied regression analysis. In cross-sectional models, the error terms are typically heteroskedastic, while in time series regressions the errors are often affected by serial correlation. Consequently, in this paper, w...

The t-Hill estimator for independent data was introduced by Fabian and Stehlik (2009). It estimates the extreme value index of distribution function with regularly varying tail. This paper considers sampling of an infinite mov- ing average model. We prove that in the discussed case the t-Hill estimator is weak consistent. However, in contrast to in...

The aim of this article is to discuss homogeneity testing of the Rayleigh distribution and relate it to homogeneity testing in exponential family. In particular, we simulate and discuss the power of exact likelihood ratio test of homogeneity against the three-components subpopulation alternative (ELR3). This article also deals with robust testing f...

The aim of this article is to introduce the general form (so called RT class) of the robust and classical Jarque–Bera (JB) test based on the location functional. We introduce the two-step procedure which is optimal for testing against the individual or contaminated Pareto alternative. As a reference for such a contamination we consider different Pa...

Healthcare quality monitoring by the Ministry of Health in Slovenia includes over 100 business indicators of economy, efficiency and funding allocation, which are analysed annually for over 20 hospitals. Most of these indicators are random-denominator same-quantity ratios with a strongly correlated numerator and denominator, and the goal is the ide...

Discussion on the paper "Optimum design of experiments for statistical inference" by Steven G. Gilmour and Luzia A. Trinca

The aim of this paper is to present and discuss the power of the exact likelihood ratio homogeneity testing procedure of the number of components k in the exponential mixture. First we present the likelihood ratio test for homogeneity (ELR), the likelihood ratio test for homogeneity against twocomponent exponential mixture (ELR2), and finally the l...

This paper focuses on the intra-euro-area imbalances. Therefore the fi rst aim of this paper is to identify euro-area countries exhibiting macroeconomic imbalances. The subsequent aim is to estimate equilibrium real exchange rates for these countries and to compute their degrees of real exchange rate misalignment. The intra-area balance is assessed...

Analysis of economic cycle is of enormous importance for monitoring economic output and explaining price and wage inflation. It provides essential information for shaping economic and monetary policy of central authorities. Several methods are currently available to estimate potential output and output gap. In the current study, methods of Hodrick-...

One attractive feature of optimum design criteria, such as D-and A-optimality, is that they are directly related to statistically interpretable properties of the designs that are obtained, such as minimizing the volume of a joint confidence region for the parameters. However, the assumed relationships with inferential procedures are valid only if t...

The weak form of the efficient markets hypothesis states that prices incorporate only past information about the asset. An implication of this form of the efficient markets hypothesis is that one cannot detect mispriced assets and consistently outperform the market through technical analysis of past prices. One of possible formulations of the effic...

Many statistical tests are constructed to check the validity of normal distribution. Here we propose a case study on analysis of paycheck where we employ the RT class of tests for normality firstly introduced in Střelec, Stehlík (2008). In particular such a study can be of interest for pension funds theoreticians and practitioners, which study the...

The consumption taxes called excise duties are imposed on tobacco products in the Czech Republic and also in the other European Union countries. Cigarette taxation is atypical compared to taxation of other products encumbered with excise duty. Number of cigarettes and also consumer's price together make the tax base. Harmonization effort of cigaret...

The aim of this paper is to compare the power of selected normality tests to detect a bimodal distribution. We use some classical normality tests (the Shapiro-Wilk test, the Lilliefors test, the AndersonDarling test, the classical Jarque-Bera test and the Jarque-Bera-Urzua test), some robust normality tests (the robust Jarque-Bera test and the Medc...

This paper deals with efficiency testing of the Czech stock market. In this work there are defined different forms of efficiency, whereas key attention is focused on the weak-form of market efficiency. The goal of this paper is to find the weak-form of efficiency with the help of various tests. We have used some basic methods for our analysis: the...

The aim of this paper is to discuss effects of deviations from hypothetized normality. Two models are considered, one is the first pension pillar (and we consider here very small samples, which plays some role at start of some pension system or at early phases of it) and second one of modeling for IBNR (here we consider mid-samples). We will show t...

The aim of this paper is an empirical analysis of mortgage volume in the Czech Republic and factors identification of the increasing trend of the mortgage volume in the period from 2001 to 2007. Firstly, analysis of quarterly time series of mortgage volume and average mortgage rate are performed. Consequently, causality between mortgage volume and...

The aim of this paper is to modify the classical Jarque-Bera test and the robust Jarque-Bera test of normality. We use the median as an estimator instead of the mean in the classical Jarque-Bera test and in the robust Jarque-Bera test. This leads to the modified Jarque-Bera test and the modified robust Jarque-Bera test. Paper also demonstrates resu...

This article deals with one of the important parts of applying chaos theory to financial and capital markets - namely searching for long memory effects in time series of financial instruments. Source data are daily closing prices of Central Europe stock market indices - Bratislava stock index (SAX), Budapest stock index (BUX), Prague stock index (P...

Foreign Direct Investments (FDI) represent one of the phenomenon of the present globalized world. Currently, they are recognized worldwide as one of the most important instruments of economic development. Foreign Direct Investments are of great importance for the host state; therefore the developed countries generally encourage them. This is also t...