Generating Halton sequences using Mata
David M. Drukker
StataCorp
College Station, TX
ddrukker@stata.com
|
Richard Gates
StataCorp
College Station, TX
rgates@stata.com
|
Abstract. This paper discusses the advantages of Halton sequences over pseudorandom
uniform numbers when using simulation to approximate integrals numerically.
We describe two types of sequences and give Mata examples. Finally, we
document the Mata function halton(), currently in release 9.1 of
Stata, which computes both a Halton sequence and its Hammersley variant.
Options to use these point sets are available in the Stata 9 program
asmprobit, a multinomial-probit estimator, and in the Stata 9.1 Mata
function ghk(), the Geweke–Hajivassiliou–Keane
multivariate-normal simulator.
View all articles by these authors:
David M. Drukker, Richard Gates
View all articles with these keywords:
halton(), Halton set, Hammersley set, quasirandom numbers
Download citation: BibTeX RIS
Download citation and abstract: BibTeX RIS
Contact StataCorp
Contact service@stata-journal.com
if you have questions about the Stata Journal.
© Copyright 2001–2010 StataCorp LP. Terms of use. Privacy notice.
|
