Creation of bivariate lognormal variables -----------------------------------------
^mkbilogn^ var1 var2 [, ^r(^#^)^ ^m1(^#^)^ ^s1(^#^)^ ^m2(^#^)^ ^s2(^#^)^ ]
Options ------- ^r(^#^)^ correlation of ln(var1) and ln(var2); default is .5. ^m1(^#^)^ mean of ln(var1); default is 0. ^s1(^#^)^ standard deviation of ln(var1); default is 1. ^m2(^#^)^ mean of ln(var2); default is 0. ^s2(^#^)^ standard deviation of ln(var2); default is 1.
Saved results ------------- Two new variables (var1, var2) are added to the data set.
Description ----------- ^mkbilogn^ creates random variables, var1 and var2, drawn from a bivariate lognormal distribution defined as follows. As n --> oo, X1 (var1) and X2 (var2) are such that x1=log(X1) and x2=log(X2) are bivariate Normal distributed with mean(x1) = m1, mean(x2) = m2, s.d.(x1) = s1, s.d.(x2) = s2, corr(x1,x2) = rho. The parameters of the distribution can be optionally chosen by the user, or default to the values specified above.
The program applies the methods proposed at the Stata FAQ: http://www.stata.com/support/faqs/stat/mvnorm.html
Examples -------- . ^mkbilogn x y^
. ^clear^ . ^set obs 10000^ . ^mkbilogn x1 x2, r(.3) m1(1) s1(2) m2(3) s2(4)^ . ^ge ly1 = ln(y1)^ . ^ge ly2 = ln(y2)^ . ^su^ . ^corr^
Author ------ Stephen P. Jenkins <stephenj@@essex.ac.uk> Institute for Social and Economic Research University of Essex, Colchester CO4 3SQ, U.K.