Generating Halton sequences using Mata

David M. Drukker () and Richard Gates ()
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David M. Drukker: StataCorp
Richard Gates: StataCorp LP

Stata Journal, 2006, vol. 6, issue 2, pages 214-228

Abstract: 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.

Keywords: halton(); Halton set; Hammersley set; quasirandom numbers (search for similar items in EconPapers)
Date: 2006
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