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INTEGRATE: Stata module to perform one-dimensional integration


  • Adrian Mander



A command that implements numerical integration for one dimensional functions. It uses three quadrature algorithms: Gauss-Legendre quadrature for definite integrals; Gauss-Laguerre quadrature when the upper limit is infinite; and Gauss Hermite quadrature when the limits are both infinite. The implementation allows any function to be specified as an argument although it is much faster if the function can allow vector calculations but this is not a necessary condition. The command is written in a combination of Stata and Mata for speed.

Suggested Citation

  • Adrian Mander, 2012. "INTEGRATE: Stata module to perform one-dimensional integration," Statistical Software Components S457429, Boston College Department of Economics, revised 02 Jul 2013.
  • Handle: RePEc:boc:bocode:s457429
    Note: This module should be installed from within Stata by typing "ssc install integrate". Windows users should not attempt to download these files with a web browser.

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