Generating Halton sequences using Mata
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.
Year of publication: |
2006
|
---|---|
Authors: | Drukker, David M. ; Gates, Richard |
Published in: |
Stata Journal. - StataCorp LP. - Vol. 6.2006, 2, p. 214-228
|
Publisher: |
StataCorp LP |
Subject: | halton() | Halton set | Hammersley set | quasirandom numbers |
Saved in:
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