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8 The Software JMulTi

Markus Krätzig

8.1 Introduction to JMulTi

8.1.1 Software Concept

This chapter gives a general overview of the software by which the examples
in this book can be reproduced; it is freely available via the Internet.1 The
information given here covers general issues and concepts of JMulTi. Detailed
descriptions on how to use certain methods in the program are left to the help
system installed with the software.
JMulTi is an interactive JAVA application designed for the specific needs
of time series analysis. It does not compute the results of the statistical calcu-
lations itself but delegates this part to a computational engine via a communi-
cations layer. The range of its own computing functions is limited and is only
meant to support data transformations to provide input for the various statistical
routines.
Like other software packages, JMulTi contains graphical user interface
(GUI) components that simplify tasks common to empirical analysis – espe-
cially reading in data, transforming variables, creating new variables, editing
data, and saving data sets. Most of its functions are accessible by simple mouse
interaction.
Originally the software was designed as an easy-to-use GUI for complex
and difficult-to-use econometric procedures written in GAUSS that were not
available in other packages. Because this concept has proved to be quite fruit-
ful, JMulTi has now evolved into a comprehensive modeling environment
for multiple time series analysis. The underlying general functionality has
been bundled in the software framework JStatCom, which is designed as
a ready-made platform for the creation of various statistical applications by
developers.

1 The homepage is http://www.jmulti.de

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8.1.2 Operating JMulTi

Much effort has been invested in making the use of JMulTi as intuitive as
possible. Therefore it is not necessary to read this chapter before using the
program. Some options are explained in detail, however. Thus it may be a good
strategy to read this chapter after a first acquaintance with the software.
JMulTi is a JAVA program and consequently relies on the availability of
an appropriate JAVA Runtime Environment (JRE)2 that needs to be installed
as well. Users new to JAVA programs should be aware that the user interface
looks slightly different from the one of native programs and is sometimes a bit
less responsive. This does not mean that the speed of the statistical calculations
is slower than with other software packages. The difference results from the
way the JAVA GUI components are painted on the screen. The speed of the
calculations is only lowered by the overhead imposed by the communications
interface between JMulTi and the computational engine. This is a tolerable
fixed cost that does not affect the performance of the algorithms.
In the following sections some conventions for numbers, dates and variable
names, data input, and data handling will be discussed. Section 8.4 describes
how various time series operations can be carried out, and Section 8.6 gives a
very general overview of the underlying software framework. This is especially
meant for developers who consider writing graphical user interfaces for their
algorithms.

8.2 Numbers, Dates, and Variables in JMulTi

8.2.1 Numbers
JMulTi stores numbers as 64-bit, double-precision, floating point values as
defined in IEEE (754–1985). Special values are NaN, Infinity and -Infinity.
NaN stands for Not-a-Number and is used to code missing values in data files.
Infinities are not allowed for data points but occur in the definition of intervals
or for coding special values.
To input numbers that are used by a procedure, JMulTi provides special
text fields with input-validating capabilities. Usually these text fields display a
reasonable default value. The decimal delimiter is a point. The number displayed
is rounded to the precision required for the respective purpose. Very often the
number of fraction digits is zero, which allows only for integer input. If the
given value cannot be parsed to a number or if it is not in the allowed range, a
descriptive message will pop up and any other action is canceled. It is always
possible to input values coded in exponential notation (e.g., 1.234e-10). The
respective text field formats the input value in a way that makes sense for the
given context.
2 The Sun JRE can be downloaded from http://www.java.sun.com.
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Range of numbers. Sometimes it is necessary to input a range defined by two

numbers. JMulTi also provides special text fields for this purpose that make
sure that the given range is valid and within the enclosing interval. Text fields
with this behavior are marked with angular brackets. The two numbers defining
the range must be separated by a comma.

8.2.2 Numbers in Tables

JMulTi often uses tables to display an array of numbers. The tables frequently
have a right mouse pop-up menu for useful tasks on that table. The default
menu for number tables allows the precision and the notation of the numbers
displayed to be changed. If a table is editable, the same rules hold as for number
text fields.
In certain contexts, such as for the specification of subset restrictions, the
number table renders certain values with special symbols (e.g., ’∗’ or ’---’).
Usually these tables can be edited by just clicking on a cell such that the value
switches to the next valid one and the symbol changes accordingly.

8.2.3 Dates
In JMulTi dates are objects defined by a main period, a frequency, and a sub-
period. They can be specified in various ways with the respective text fields for
date input. All three pieces of information must be retrieved from the input.
The following formats are recognized, where D stands for the main period, S for
the subperiod, and F for the frequency or periodicity:

• D S/F, for example 1960 1/6. This format is always possible and is used
as default format if no special identifier for the frequency is defined.
• D ’Q’ S, for example 1960 Q 1. This format is used for quarterly data.
• D ’M’ S, for example 1960 M 11. This format is used for monthly data.
• D, for example 1960. This format is used for annual data.
• D [’I’,’II’], for example 1960 II. This format is used for half-yearly
data.
• D.S, for example 1960.1. This format is just for input convenience and can
be used when the program already knows the frequency from the context,
which is often the case.

Date input must conform to the given rules and is validated against a range
defined by two dates. If the input is wrong in any way, the previous value is
restored and a descriptive message is shown.

Range of dates. Sometimes it is necessary to define a time range by specifying

its first and the last date. JMulTi provides special text fields for that purpose as
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well. Like the ones for number ranges, they are marked with angular brackets
and validated against an enclosing date range. The two dates must be separated
by a comma.

8.2.4 Variable Names

As a general convention throughout the program, variable names can con-
tain letters, numbers, and ’ ’ but must start with a nonnumber. For example,
invest, invest and i2 would be valid names, whereas 2i, gov exp or
cons+inv would be invalid. This is enforced wherever variable names can
be set within the program but must also be followed when specifying variable
names in a data file. Variable names are case insensitive, meaning that two
variable names differing only in the case of one or more letters are considered
equal.

8.3 Handling Data Sets

8.3.1 Importing Data

JMulTi is meant to be used for empirical data analysis. Therefore the first
step is always to read in a data set that is stored in a file. In case the avail-
able data is in a format that is not directly readable by JMulTi, it should
always be possible to transform the data easily into one of the accessible
formats.
When the data are read in, JMulTi automatically identifies dummy and trend
variables as deterministic. In general, reading in variables that are either an in-
tercept, a deterministic trend, or seasonal dummy variables is not recommended
because JMulTi offers automatic generation of these variables wherever it is
necessary for a certain procedure.

8.3.2 Excel Format

JMulTi can read in Microsoft® Excel 97 files. Earlier versions are not sup-
ported, whereas the file format did not change with later versions of Excel.
There is an appropriate file filter for ∗.xls files. When the file is opened, a dia-
log asks for some additional information. Only one Excel table can be read in at a
time.
The Excel file should have the variable names in the first row and the numeric
values starting in one of the next rows. The parser also recognizes cells that
contain formulas and evaluates them. If JMulTi finds no variable names, it cre-
ates defaults from the filename and an index. Other cells with nonnumbers will
be treated as missing values and coded as NaN. Whether the decimal delimiter
is a comma or a point depends on the local settings. A number is recognized if
Excel has stored the content of the cell as a number.
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8.3.3 ASCII Format

An ASCII data file example with an optional description looks like this:
/∗seasonally adjusted, West Germany:
fixed investment, disposable income, consumption expen-
ditures ∗/
180 451 415
179 465 421
...
The file should contain the data of each variable in a column. Missing values may
be coded with NaN. It makes no difference whether the numbers are coded with
a decimal comma or a decimal point. The exponential notation (e.g., 1.23e-
4) is recognized as well. When the file is opened, a dialog asks for additional
information. It is possible to add a description enclosed by /∗ ... ∗/ to the
data set somewhere in the file.

8.3.4 JMulTi .dat Format

JMulTi has a file format that is a slight extension of the ASCII format and
allows for easy data recognition without further user interaction. The following
is an example of a .dat file with an optional description:
/∗seasonally adjusted, West Germany:
fixed investment, disposable income, consumption expen-
ditures ∗/
<1960 Q1>
invest income cons
180 451 415
179 465 421
...
where the start date enclosed by <. . . > must conform to the rules described in
Section 8.2.3.

8.4 Selecting, Transforming, and Creating Time Series

8.4.1 Time Series Selector

Once a data set has been read in, the single variables can be accessed via the
time series selector. All time series appear in a list and can easily be combined
even if they stem from different files. It is not possible, however, to select time
series together for some operation that have a different periodicity. Time series
of the same periodicity must have at least two overlapping observations in a
common time range to be eligible for common operations. Various tasks on
the selected variables can be accessed by a menu that pops up when the user
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right clicks over selected variables in the time series selector. The tasks in the
pop-up menu do not take the selected range into account but always operate on
the whole range of the selected time series.
The time series selector is used to select the set of variables, the order of the
variables, and the time range for the various econometric methods and models.
The respective selection is only valid within its context (e.g., for unit root tests).
The selection made there has no influence on the model selection – for instance
for a VAR model. The selection mechanism is also adjusted to its context, which
means that only one variable can be selected for unit root tests, whereas for VAR
modeling the number of variables is not restricted.
Sometimes the ordering of the variables is important for a model or for
analysis. The selector uses the order in which the variables have been clicked
on. For multiple selection, it is necessary to keep either the Shift or the Ctrl
button depressed while the mouse is clicked over a series. The selected variables
are displayed in the correct order in the control area of the selector after the
selection has been confirmed.
The time range of the selection can be adjusted by editing the respective
text field. The valid range is the largest common range of all selected time se-
ries, where NaN missing values have been automatically truncated from the
beginning and the end of each series. The smallest legal range must con-
tain two observations. Once a range selection is made, this selection is kept
as long as it is valid. The maximum possible range can easily be set via
a button. This mechanism enables the user to keep an edited time range
as long as possible but allows a quick switch back to the maximum range
as well.
In general, all variable names in JMulTi are case insensitive, which means
that there is no distinction between, say, GNP and gnp. However, the variables
in the selector are displayed as they have been read in or named with the case
of the characters unchanged.
The time series selector displays variables with their names and with a symbol
tagging their property. Within the context of time series analysis the three possi-
ble properties are endogenous, exogenous, and deterministic. Through
these properties variables can be grouped and treated differently by a certain
procedure or model. It is possible to change the property of a variable via the
right mouse menu. The following tasks are available through this pop-up menu
as well:

Delete. All selected time series can be deleted. This operation is also accessible
by pressing the Del key.

Rename. The first selected time series can be renamed. The new name must be
unique among all time series in the list. The rules for variable names described
earlier apply.
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Creating dummies. For dummy creation, first a variable needs to be selected as

a reference for the time range and the periodicity. A dialog allows specification
of the date of the impulse or the range of a shift. As already mentioned, seasonal
dummies should usually not be added to the data set explicitly because they can
be created for each specific analysis where they are needed.

Transforming time series. Some common transformations are also accessible

via the transform dialog. New variables are generated with a descriptive suffix. If
logarithm is selected, it is always applied first. The selected original variables
do not change.

Editing time series. The selected time series can be edited as well. Changes
are only stored if the dialog is confirmed with OK. If series with different ranges
are selected, the missing values at the beginning or the end are displayed with
NaN.

Exporting data. It is possible to combine the selected time series with a new
data set that will be saved in the .dat format described earlier. The data set can
then be read in again without further interaction.

8.4.2 Time Series Calculator

The time series calculator is a very flexible tool to create new variables by
combining existing time series with arithmetic operations and functions. It
provides the minilanguage TSCalc that operates with one-dimensional arrays
and scalars. The operation is as follows:

1. First one has to select the variables to be combined in the time series selector.
2. The names appear in the list Available Variables and are put into the
variable space of the calculator.
3. One can write one or more commands to the command area and execute
them with Execute or Ctrl+E. Newly created variables appear in the list
of available variables.
4. Finally, the selected variables in Available Variables can be added to
the workspace with Add Selected.

The syntax of TSCalc is very easy, and only a few simple rules apply:

• New variables can be defined with

newvariable = some expression;.
• Several commands can be executed at once by separating them with ’;’.
• The content of a variable can be printed out by just writing the variable name
to the command line.
• The conventions for variable names hold as described in Section 8.2.4.
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• All array operations are applied elementwise.

• TSCalc understands exponential notation; for example, 1.234e-3.

By double clicking on a variable in the list, the name appears in the command
window and can be combined with commands from the calculator. Apart from
basic arithmetic operations, TSCalc provides a range of other functions like
sin, cos, tan, min, max, lagn, log, stdc, meanc, rndn, ones, trend. For
a complete list of possible operators and functions, consult the help system.
In case there are syntax errors, a descriptive message is printed to the output
window. If the selection in the time series selector is changed, the workspace of
the calculator is overwritten. Variables that have not been added to the workspace
are lost.

8.5 Managing Variables in JMulTi

JMulTi uses a sophisticated system to share variables between different com-
ponents. This makes the internal design of the program much clearer, but it also
has the benefit for the user that there is a great deal of transparency over almost
all variables that are used by the system. It is possible to check input parameters
as well as results being read back after a procedure has finished.
The tool to access the variable space is the Symbol Control Frame. A tree
structure allows browsing through the variables by their names. Each variable
can be displayed in a table, and a description is usually available on what is
stored in it and what type and dimension it has. The variables in the tree always
belong to a certain scope that is defined by the location of the variable in the
component hierarchy. For example, a variable stored for the VEC model is not
accessible from the VAR model. This structure is reflected in the tree.
As a special feature it is possible to save every selected variable to file to
reuse it in another program. Various file formats are supported. This feature
can also be used for exporting output and using it in another program for
creating graphics for a publication. The main idea of this facility is to provide
as much flexibility as possible and to offer a way of overcoming the limitations
of JMulTi by using its export functions.

8.6 Notes for Econometric Software Developers

8.6.1 General Remark

The following short overview should serve as a motivation for interested re-
searchers to use the software described in this chapter not only as a ready-made
tool but also as a platform to quickly create new applications for various pur-
poses in econometrics. For example, with the proper tools it would be possible
to create a user interface for a new test or estimation routine in a few hours
without a deep knowledge in object-oriented programming techniques. On the
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other hand, the system is flexible enough to serve as a platform for more de-
manding applications as well. The technical details of how to implement this
capability are not described here, but the general idea of the underlying frame-
work is presented. For more information the interested reader is referred to the
homepage3 of the project.

8.6.2 The JStatCom Framework

As mentioned in the introduction, JMulTi is based on a software framework
called JStatCom. A software framework is a set of reusable classes that make
up a reusable design for a class of software [see Johnson & Foote (1988),
Deutsch (1989)]. This means that it already provides a structure as well as key
functionality for applications in a certain problem domain. The designer of an
application can reuse not only classes but the whole design of the framework and
concentrate on specific aspects of his or her implementation [Gamma, Helm,
Johnson & Vlissides (1995)]. The problem domain for JStatCom is time
series analysis, but it could well be extended to statistical modeling in general
or simulation, such as for macroeconomic models.
JStatCom is a set of JAVA classes together with additional native libraries
necessary to communicate to certain computational engines. It is organized into
several packages as shown in Figure 8.1. The dashed lines indicate dependencies
between packages, and it can easily be seen that the model package contains the
core classes on which all other packages depend. For time series analysis the ts
package defines all relevant functionality. The other packages are largely inde-
pendent of each other. All classes and components within that framework can
be accessed by a well-documented application programming interface (API).
A special feature of JStatCom is that it makes heavy use of the JavaBeans
component architecture as defined by Sun Microsystems (1.01-1997). Compo-
nents can be configured and plugged together in a standardized way, which can
speed up development significantly.

8.6.3 Component Structure

To understand the underlying general design better, Figure 8.2 summarizes
the relationships between JStatCom, JMulTi, the computational engine, and
statistical procedures written for a certain engine. All components together
make a runnable application. The main building blocks of the software are
clearly separated from each other and can be developed independently.
The application developer needs to implement the statistical procedures for a
specific engine, and he or she must create the user interface for the application.
The first task should be familiar to researchers because it means just using a
programming language to implement the desired algorithm.

3 The homepage is http://www.jstatcom.com.

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Figure 8.1. JStatCom JAVA Package Structure.

The task of creating the JAVA application on the other hand is greatly sim-
plified by the framework design of JStatCom. Many sophisticated classes and
components are available and can easily be reused. The general functional-
ity described earlier in this chapter is immediately available if the respective
components are used. As a developer, one only needs to think about the special
needs of a certain procedure, which basically means input and output specifi-
cation. Although some programming in JAVA is always needed, most steps can
be done in a standardized way.

Figure 8.2. Collaboration of components.

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The design splits the complex task of creating an application for time se-
ries analysis into smaller units, which can be solved separately. The problems
that occur in literally every analysis have been solved in the JAVA framework
already. The task of creating the GUI and the task of programming a complex
statistical procedure are almost completely separated and can even be done by
different people. That way it is possible to reuse already written code efficiently
and to enhance its value by integrating it with a graphical user interface.

8.7 Conclusion
JMulTi uses the functionality of JStatCom to implement interesting, new,
and otherwise difficult-to-use methods in time series econometrics. It is freely
available, using free code provided by many authors.
On the other hand, the development of JStatCom would not at all have
been possible without the experiences gained from creating, using, and extend-
ing JMulTi. The framework is an extract of all general solutions that have been
found to be useful and are not related to a specific model but occur frequently
when implementing new methods. Both pieces of software will, it is hoped, con-
tinue to be improved, maintained, and extended with new features in the future.
It is likely that the software will change much faster than this book; therefore,
users are advised to check the respective websites for the latest developments.
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