Generating Non-Standard Multivariate Distributions with an Application to Mismeasurement in the CPI

22 Pages Posted: 1 Sep 2000 Last revised: 15 Jan 2025

See all articles by Matthew D. Shapiro

Matthew D. Shapiro

University of Michigan at Ann Arbor - Department of Economics; National Bureau of Economic Research (NBER)

David W. Wilcox

Board of Governors of the Federal Reserve System

Date Written: May 1996

Abstract

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.

Suggested Citation

Shapiro, Matthew D. and Wilcox, David W., Generating Non-Standard Multivariate Distributions with an Application to Mismeasurement in the CPI (May 1996). NBER Working Paper No. t0196, Available at SSRN: https://ssrn.com/abstract=225101

Matthew D. Shapiro (Contact Author)

University of Michigan at Ann Arbor - Department of Economics ( email )

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David W. Wilcox

Board of Governors of the Federal Reserve System ( email )

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