JMulTi Time Series Analysis with Java

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  • Oct 15, 2009: JMulTi 4.24 bugfix in SVAR/SVEC analysis

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Related Book: Applied Time Series Econometrics
A textbook covering recent methodological developments in econometrics. The topics include VAR, VEC, SVAR, SVEC, STR and nonparametric time series modelling. All examples in the book can be reproduced with JMulTi. Contributors are Jörg Breitung, Ralf Brüggemann, Helmut Herwartz, Markus Krätzig, Helmut Lütkepohl, Timo Teräsvirta, and Rolf Tschernig.

Please cite JMuTi when it was used for a publication. The reference in BibTeX is:

TITLE = {Applied Time Series Econometrics},
EDITOR = {L\"utkepohl, H. and Kr\"atzig, M.},
PUBLISHER = {Cambridge University Press},
ADDRESS = {Cambridge},
YEAR = {2004}

JMulTi is an interactive software designed for univariate and multivariate time series analysis. It has a Java graphical user interface that uses an external engine for statistical computations.

Implemented features include VAR/VEC modelling but also methods that are not yet in widespread use. A full account of implemented methods is available in the features section.

The projects JMulTi and JStatCom are supported by the German Research Foundation in the SFB 649 "Economic Risk" (Project C2).