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Generating Halton sequences using Mata

  • David M. Drukker

    ()

    (StataCorp)

  • Richard Gates

    ()

    (StataCorp LP)

Registered author(s):

    This paper discusses the advantages of Halton sequences over pseudo- random uniform numbers when using simulation to approximate integrals numeri- cally. We describe two types of sequences and give Mata examples. Finally, we doc- ument the Mata function halton(), currently in release 9.1 of Stata, which com- putes 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.

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    Article provided by StataCorp LP in its journal Stata Journal.

    Volume (Year): 6 (2006)
    Issue (Month): 2 (June)
    Pages: 214-228

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    Handle: RePEc:tsj:stataj:v:6:y:2006:i:2:p:214-228
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