INTEGRATE_AQ: Stata module to do adaptive quadrature for integrals

Adrian Mander (mandera@cardiff.ac.uk)

Statistical Software Components from Boston College Department of Economics

Abstract: integrate_aq is an implementation of Gaussian adaptive quadrature, indefinite integrals are handled by using transformations onto a definite integral. Infinity limits are represented by a full stop. The adaptive quadrature splits any single integral, into two integrals, at the mid point. If the two integrals is not close to the overall integral then the sub integrals are split further. By doing the sub-integrals there is some measurement of the error in the integral. Occasionally some integrands can require many sub-integrals and this can take a long time to get an answer and will likely result in a large error.

Language: Stata
Requires: Stata version 15
Keywords: integration; adaptive quadrature; Gaussian (search for similar items in EconPapers)
Date: 2018-07-19
Note: This module should be installed from within Stata by typing "ssc install integrate". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/i/integrate_aq.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/integrate_aq.sthlp help file (text/plain)

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