The software JMulTi

Die Dissertation entwickelt und untersucht Methoden für die Analyse dynamischer Mehrgleichungsmodelle (VAR Modelle). Zuerst wird ein allgemeines Konzept für die Einbindung statistischer Prozeduren in eine menügesteuerte Software entwickelt. Die resultierende Java--Bibliothek besteht aus konfigurierbaren Oberflächenkomponenten und Funktionen, die die Kommunikation zum statistischen Softwarepaket GAUSS ermöglichen. Diese Bibliothek ist die Grundlage für die Software JMulTi, einem menügeführten Programm zur Analyse univariater und multivariater Zeitreihen. Der Einsatz von JMulTi bei der Analyse von VAR Modellen wird anschließend dokumentiert. Dazu werden für den monetären Sektor in Deutschland unrestringierte und restringierte VAR Modelle geschätzt und unterschiedliche Bootstrapkonfidenzintervallen für Impulsantworten berechnet und verglichen. Diese Intervalle sind Gegenstand einer abschließenden und detaillierten Analyse. Es wird untersucht, ob die in JMulTi verwendeten Bootstrapverfahren (und weitergehende Vorschläge wie z.B. das Subsampling) in der Lage sind, die mögliche Inkonsistenz des standardasymptotischen Verfahrens bei der Berechnung von Konfidenzintervallen für Impulsantworten zu überwinden. Eine Monte-Carlo-Studie illustriert die Leistungsfähigkeit der untersuchten Methoden.The thesis develops and examines tools for the analysis of dynamic multi-equation models (VAR models). First, a general concept for the integration of statistic procedures into a menu controlled software is developed. The resulting Java-library consists of configurable graphical user interface components and functions, which allow communication to the statistic software package GAUSS. This library is the basis for the software JMulTi, a menu-driven program for analyzing univariate and multivariate time series. The use of JMulTi for analyzing VAR models is documented next. Unrestricted and restricted VAR models for the monetary sector of Germany are estimated and different bootstrap confidence intervals for impulse responses are computed and compared. These intervals are subject of a concluding and detailed analysis. It is examined whether the bootstrap methods used in JMulTi (and further suggestions, e.g. the subsampling) are able to overcome the possible inconsistency of the standard asymptotic method when computing confidence intervals for impulse responses. A Monte-Carlo-study illustrates the performance of the examined methods

Problems Related to Bootstrapping Impulse Responses of Autoregressive Processes

Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed analysis of the methods in current use shows that they are not very reliable in some cases. In particular, there are theoretical reasons for them to have actual coverage probabilities which deviate considerably from the nominal level in some situations of practical importance. For a simple case alternative bootstrap methods are proposed which provide correct results asymptotically

The effect of general anaesthetics on brain lactate release

The effects of anaesthetic agents on brain energy metabolism may explain their shared neurophysiological actions but remain poorly understood. The brain lactate shuttle hypothesis proposes that lactate, provided by astrocytes, is an important neuronal energy substrate. Here we tested the hypothesis that anaesthetic agents impair the brain lactate shuttle by interfering with astrocytic glycolysis. Lactate biosensors were used to record changes in lactate release by adult rat brainstem and cortical slices in response to thiopental, propofol and etomidate. Changes in cytosolic nicotinamide adenine dinucleotide reduced (NADH) and oxidized (NAD+) ratio as a measure of glycolytic rate were recorded in cultured astrocytes. It was found that in brainstem slices thiopental, propofol and etomidate reduced lactate release by 7.4 ± 3.6% (P < 0.001), 9.7 ± 6.6% (P < 0.001) and 8.0 ± 7.8% (P = 0.04), respectively. In cortical slices, thiopental reduced lactate release by 8.2 ± 5.6% (P = 0.002) and propofol by 6.0 ± 4.5% (P = 0.009). Lactate release in cortical slices measured during the light phase (period of sleep/low activity) was ~25% lower than that measured during the dark phase (period of wakefulness) (326 ± 83 μM vs 430 ± 118 μM, n = 10; P = 0.04). Thiopental and etomidate induced proportionally similar decreases in cytosolic [NADH]:[NAD+] ratio in astrocytes, indicative of a reduction in glycolytic rate. These data suggest that anaesthetic agents inhibit astrocytic glycolysis and reduce the level of extracellular lactate in the brain. Similar reductions in brain lactate release occur during natural state of sleep, suggesting that general anaesthesia may recapitulate some of the effects of sleep on brain energy metabolism

Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems

It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are given they are often based on bootstrap methods with poor theoretical properties. These problems are illustrated using two German monetary systems. Proposals are made for improving current practice. Special emphasis is placed on systems with cointegrated variables

COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS

This publication is with permission of the rights owner freely accessible due to an Alliance licence and a national licence (funded by the DFG, German Research Foundation) respectively.It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals sometimes are not provided. If confidence intervals are given, they often are based on bootstrap methods with dubious theoretical properties. These problems are illustrated using two German monetary systems. Proposals are made for improving current practice. Special emphasis is placed on systems with cointegrated variables.Peer Reviewe

Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems

It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are given they are often based on bootstrap methods with poor theoretical properties. These problems are illustrated using two German monetary systems. Proposals are made for improving current practice. Special emphasis is placed on systems with cointegrated variables.Bootstrap; Impulse Response; Monetary Policy; Money Demand System

Problems related to confidence intervals for impulse responses of autoregressive processes

Confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed analysis of the methods in current use shows that they are not very reliable in some cases. In particular, there are theoretical reasons for them to have actual coverage probabilities which deviate considerably from the nominal level in some situations of practical importance. For a simple case alternative bootstrap methods are proposed which provide correct results asymptotically.impulse response, bootstrap, autoregressive process, asymptotic inference, nonparametric inference,

COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS

It is argued that standard impulse response analysis based on vector autoregressive models has a number ofshortcomings. Although the impulse responses are estimatedquantities, measures for sampling variability such asconfidence intervals sometimes are not provided. Ifconfidence intervals are given, they often are based onbootstrap methods with dubious theoretical properties. Theseproblems are illustrated using two German monetary systems. Proposals are made for improving current practice. Specialemphasis is placed on systems with cointegratedvariables.