Generating random samples from user-defined distributions

Katarına Lukacsy ()
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Katarına Lukacsy: Central European University

Stata Journal, 2011, vol. 11, issue 2, 299-304

Abstract: Generating random samples in Stata is very straightforward if the distribution drawn from is uniform or normal. With any other distribution, an inverse method can be used; but even in this case, the user is limited to the built- in functions. For any other distribution functions, their inverse must be derived analytically or numerical methods must be used if analytical derivation of the inverse function is tedious or impossible. In this article, I introduce a command that generates a random sample from any user-specified distribution function using numeric methods that make this command very generic.

Keywords: rsample; random sample; user-defined distribution function; inverse method; Monte Carlo exercise (search for similar items in EconPapers)
Date: 2011
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