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RE: st: halton sequence


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: halton sequence
Date   Fri, 6 Aug 2004 19:59:25 +0100

Do you want a variable, a numlist, 
a matrix or what? 

Show us some code that doesn't work. 
It's got to be better than no code at all. 

Nick 
n.j.cox@durham.ac.uk 

Alfonso Miranda Caso Luengo
 
> Let me expand a little on my last e-mail. In the last few 
> years Maximum Simulated likelihood has been proposed as a 
> good alternative for estimating models where various random 
> effects are present so that maximum likelihood estimation 
> requires multivariate integration. Though Gauss-Hermite 
> integration is possible with, say, four or less random 
> effects, integration by simulation seems to be a promising 
> alternative. Integration by simulation can be based on random 
> draws from a uniform. However, it has been suggested in the 
> literature that using Halton draws (which are systematic and 
> cover better the 0-1 interval) is better. For these reasons I 
> would like to use Halton draws to write a simulated maximum 
> likelihood routine.
> 
> I have found however that this is not an easy task in Stata, 
> as most Halton generators currently available are written in 
> low level language on the basis of programming facilities 
> that we do not have in Stata. I am sure there is a Stata way 
> to do it, I just cannot imagine an efficient way (all my 
> ideas crash with the length limits of macros and matrices in Stata). 
> 

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