| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0196 |
| 来源ID | Technical Working Paper 0196 |
| Generating Non-Standard Multivariate Distributions with an Application to Mismeasurement in the CPI | |
| Matthew D. Shapiro; David W. Wilcox | |
| 发表日期 | 1996-05-01 |
| 出版年 | 1996 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles |
| URL | https://www.nber.org/papers/t0196 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563029 |
| 推荐引用方式 GB/T 7714 | Matthew D. Shapiro,David W. Wilcox. Generating Non-Standard Multivariate Distributions with an Application to Mismeasurement in the CPI. 1996. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0196.pdf（492KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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