TY  - JOUR
AU  - Shapiro,Matthew D.
AU  - Wilcox,David W.
TI  - Generating Non-Standard Multivariate Distributions with an Application to Mismeasurement in the CPI
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 196
PY  - 1996
Y2  - May 1996
UR  - http://www.nber.org/papers/t0196
L1  - http://www.nber.org/papers/t0196.pdf
N1  - Author contact info:
Matthew D. Shapiro
Department of Economics
University of Michigan
611 Tappan St
Ann Arbor, MI 48109-1220
Tel: 734/764-5419
Fax: 734 764-2769
E-Mail: shapiro@umich.edu

David Wilcox
Federal Reserve Board
20th and Constitution Avenue, NW
Washington, DC 20551
Tel: 202/452-2991
Fax: 202/452-5296
E-Mail: david.w.wilcox@frb.gov
AB  - 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.
ER  -