Generating Non-Standard Multivariate Distributions with an Application to Mismeasurement in the CPI
This paper shows how to generate the joint distribution of correlated random variables with specified marginal distributions. For cases where the marginal distributions are either normal or lognormal, it shows how to calculate analytically the correlation of the underlying normal distributions to induce the desired correlation between the variables. It also provides a method for calculating the joint distribution in the case of arbitrary marginal distributions. The paper applies the technique to calculating the distribution of the overall bias in the consumer price index. The technique should also be applicable to estimation by simulated moments or simulated likelihoods and to Monte Carlo analysis.
|Date of creation:||May 1996|
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- Diewert, W. E., 1976. "Exact and superlative index numbers," Journal of Econometrics, Elsevier, vol. 4(2), pages 115-145, May.
- Gordon, Robert J., 1990. "The Measurement of Durable Goods Prices," National Bureau of Economic Research Books, University of Chicago Press, edition 1, number 9780226304557.
- Timothy F. Bresnahan & Robert J. Gordon, 1996. "The Economics of New Goods," NBER Books, National Bureau of Economic Research, Inc, number bres96-1, 07.
- Matthew D. Shapiro & David W. Wilcox, 1996.
"Mismeasurement in the Consumer Price Index: An Evaluation,"
NBER Working Papers
5590, National Bureau of Economic Research, Inc.
- Matthew D. Shapiro & David W. Wilcox, 1996. "Mismeasurement in the Consumer Price Index: An Evaluation," NBER Chapters, in: NBER Macroeconomics Annual 1996, Volume 11, pages 93-154 National Bureau of Economic Research, Inc.
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