Generating Halton sequences using Mata
Abstract. This paper discusses the advantages of Halton sequences over pseudorandom
uniform numbers when using simulation to approximate integrals numerically.
We describe two types of sequences and give Mata examples. Finally, we
document the Mata function halton(), currently in release 9.1 of
Stata, which computes 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.
View all articles by these authors:
David M. Drukker, Richard Gates
View all articles with these keywords:
halton(), Halton set, Hammersley set, quasirandom numbers
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